What do you do? Why do you use a published setting? If so, which one? Why do you do your own?
Being both a player and DM, I have conflicted feelings on the matter...
As a DM, I have used both published settings, homebrew settings, and mixed settings.
I prefer published settings when running the game for casual players, because a published setting saves me a lot of work, and often comes equipped with nice maps and artwork to show. My favourite published settings are Rokugan, Forgotten Realms, Planescape and Al-Qadim (tho I've never run a game of the latter).
But when I have experienced players at the table, I prefer homebrew, so that I can throw their expectations to the wind. If I play for example Forgotten Realms, it is so popular that any seasoned D&D player probably knows more than me... On one hand, it's a good thing for a player to know about the setting, on the other, I can't keep up with all the stuff and I will certainly create some inconsistency, foil their knowledge, and possibly even piss them off. With homebrew, I can exercise my creativity fully and also get rid of certain fantasy tropes I might be bored with. That said, I'll happily throw published material (adventures, locations, monsters, NPCs...) in my homebrew in order to simplify my job, perhaps refurbished to make it less recognizable.
As a player, I strongly prefer published settings. That's because I feel much more compelled at
sharing the same gaming experience with thousands of others (present or past), and play famous adventures in famous fantasy worlds, rather than nobody's homebrew.
And yes, if you read between the lines, you'll get that I wouldn't want to be a player in my own games 