What's so cool about Dreamlands?
The Dreamlands is a totally alien setting, characterized by shapeless horrors, unfathomable eldritch god things, and surreal wonders only possible in the land of dreams. It's even further removed from the traditional tropes of High Fantasy than settings like Talislanta are. I think that its closest kin may be found in Tekumel, though even Tekumel obeys normal Earth physics for the most part, whilst almost anything is possible beyond the wall of sleep.
I've heard so much about Harnworld over the years, but I'm not sure I've ever heard of Shadow World (though it is a fairly generic name).
Well, I like HarnWorld specifically because it pays attention to things that pretty much every other fantasy RPG setting I've ever read ignores or glosses over greatly — things like weather patterns, the impact of geography on trade routes, the impact of trade routes on economies,
economies, social structure, legal systems, etc. Now, granted, I may never use half that stuff in any given HarnWorld game that I run — but if I want to, it's there. That is a huge benefit.
Shadow World is the official Rolemaster setting (it started off as a series of three modules way back in the day). I like the setting because it took all of the rules from Rolemaster and integrated them in much the same way that Ptolus integrated all of the D&D 3x rules. If a rule exists in Rolemaster, it's represented in Shadow World somewhere, somehow.