There are things I won't change, and things I will.
Take Eberron. A small example: officially, anyone born into the dragonmarked houses adds the d' prefix to the front of their surname - so, d'Cannith, d'Thuranni, et cetera. Those who marry into the house take the surname (both men and women) by itself - Vadalis, Deneith, et cetera.
In my games, the d' prefix is reserved for individuals who actually bear the dragonmark of the house - so I have two brothers from House Orien in my Savage Tide campaign, Amadeus Orien and his younger, dragonmarked brother Lutagnan d'Orien. Those who marry into the house are still known as Orien, because they are of course not dragonmarked.
Another Eberron example: Officially, the Blood of Vol is a minority religion in the nation of Karrnath, established as the state religion for a relatively brief period of time during the Last War but subsequently disestablished. The majority of Karrnathis have always been followers of the Sovereign Host, though the Blood of Vol has historically been a visible minority in the nation.
In Keith Baker's original design of the setting, the Blood of Vol was the traditional, majority religion of Karrnath. I think it's cool enough that I'm restoring it to that position. I think I will probably maintain the historical elements of its being officially established as the state religion only during the Last War, and its having been removed from that position as King Kaius III seeks to promote the Sovereign Host, if only because the latter is much more ripe for conflict between various religious and secular factions in Karrnathi society.
I generally won't use a setting at all unless I like 90% of it; there are always things I will do differently, but if the number of changes is too great I just won't bother. Likewise, I'm always open to adjusting elements of a setting to better fit a character or their story.