I may be a bit old school, but I still prefer Greyhawk.
If you haven't played Greyhawk to death, I still think it is very good setting, especially for a DM with less experience than some. There is lots of web-support (see
www.canonfire.com), tons of 1e and 2e modules based there (many have
conversions to 3e). Many Greyhawk adventures are classics, like Tomb of Horrors, Agaisnt the Giants, and the Temple of Hommlet. Plus Greyhawk is the stomping ground of classic heroes and villians like Mordenkaiden, Bigby, Tenser, Vecna, Iuz, etc. Most 1e and 2e greyhawk products are available for download for $5 a piece at svgames.com. Many are available for free at the WotC site.
WotC products devoted to Greyhawk are dissapointingly limited, but most modules are set there by default (though Greyhawk tie-ins are not crucial, usually). The Living Greyhawk updates in Dragon are also a resource. Hopefully, WofC will eventually release some good Greyhawk material.
If you are interested, check out the canonfire.com site. If you search that site and linked sites you can download maps, sample adventures, history, etc. If you are interested further, consider downloading the 1983 boxed set at svgames. The maps are still incomplete (they're a pain to deal with anyway, but the text is fine). Then, get the Living Greyhawk Gazatter book.
Of course, the main disadvantage of Greyhawk is it's been overused. Many players have been there, done that, plain and simple. If that's the case with your players, of course another setting might be preferable; I'm currently deciding whether or not to buy the Scarred Lands setting, that sounds like the best new setting out there.