I missed that you were asking for a setting!
I only have experience with a few, but they all had their ups and downs. Since choosing a setting is even more a matter of taste than choosing a system, I'll just say what I liked and disliked about each.
Forgotten Realms: Almost anyone with even a passing knowledge of fantasy can dive in and feel familiar here. Halflings act like you think they'd act, elves are ancient and enigmatic and retreating from the world, etc. There is always always excitement for the PCs to get up to, and if you are the kind of GM that likes running published modules, this setting is your best bet. On the down side, that same massive glut of published material makes the realms feel crowded and illogical, with hundreds of races rubbing shoulders and massively powerful NPCs that inexplicably have little effect on day-to-day affairs. I't D&D in microcosm, really.
Golarion: I have limited experience with this world, but the main thing recommending it is the very high quality and quantity of 3.x compatible modules available for it. If you aren't planning on running modules, or plan on running something other than 3.x, skip it. Other than that it is much like the Realms (but not nearly so iconic, IMO).
Greyhawk: Another recognizable fantasy setting at which most players will easily feel at home. Not nearly as gonzo as FR, but some people feel it lacks character as a result. Not a lot of recent material for it, but it's a good place to play if you want a loosely defined canvas where you are free to fill in the blanks. Another benefit is that the 3.x core books assume Greyhawk when they talk about gods and such, so your players may already have some knowledge of it.
Eberron: My personal favorite, but your group needs to know what they are getting into. A little more effort is spent in making the world "make sense", but it makes sense in an action-packed pulp heroes-vs-Nazi-airships sort of way. Magic is everywhere, but not nearly as world-shatteringly powerful as it is in FR. It resembles the industrial revolution more than a world filled with superheroes. Fun and intrigue abound, but it is a niche and you need to make sure your players will fit in it.
Rokugan (aka 3.x Oriental Adventures): If your group has a Japan fetish, as mine did for a while, this will be a tempting option. The importance of social standing, culturally acceptable behavior, and roleplaying really cannot be overstated in this setting. The culture is alien and exotic and alluring and you can lose your campaign for whole sessions in deadly intrigues to determine arcane points of honor and responsibility. You can also run it as more of an eastern action setting of course. Again, a niche setting requiring some player buy-in.
Dark Sun: Post-apocalyptic wasteland filled with mutants and despair. Says it all, really. If that's your bag you should certainly check it out.
Ravenloft: Hell of a good setting emphasizing gothic horror and daily struggles against the darkness that may never be won. If your group loves vampires and werewolves fantasy, think about looking at this world. Also has some legendarily awesome modules from the pre-3E days.
Hope that helps!