Basic, Expert, Companion, Master, Immortal :
We used assorted combinations of homebrew, Known World, & Greyhawk. Largely in that order. Because in the beginning all we had was the Basic book & B2 - & there's no setting there. So we had to make up everything else. Then we added some more modules & places in those got located on our "map".
A bit later we got the Expert set & the Isle of Dread. Now we had an official map & some description. Expert lv modules expanded upon this map. Then we started finding AD&D 1e stuff & the Greyhawk setting. Also the assorted BECMI Gazateer series. So our games were largely set in either the expanding Known World, Greyhawk, or combos of.
1e:
Greyhawk, FR, Dragon Lance, Known World, Middle Earth, a bit of the Hyborian Age from the Conan modules. Homebrew.
Sometimes separate, sometimes blended.
2e:
Greyhawk, FR, Dragon Lance, Known World, Middle Earth, Ravenloft/Domains of Dread (though we never actually used it as a whole setting), Dark Sun, a bit of Al Qadim, some Talasanta(sp?), a bit of Ars Magica. Plenty of Homebrew.
Sometimes separate, sometimes blended.
3x:
Greyhawk, FR, Dragon Lance, Known World, Middle Earth, Ravenloft/Domains of Dread (though we never actually used it as a whole setting), Dark Sun, a bit of Al Qadim, some Talasanta(sp?), a bit of Ars Magica. Plenty of Homebrew.
Plus Kalamar & Ebberon.
4e:
FR, Nentir Vale (only as far as whatever was in the couple of modules we had), & homebrew.
Not much effort was invested setting wise as initially we were playing the rules, and then we were finishing up our games as we were departing for PF.
PF:
Golarian, FR, GH, plenty of homebrew, bits of everything else.
5e:
Golarian, FR, GH, plenty of homebrew, bits of everything else.
PF2:
Golarian & Homebrew