As a DM (I realize that's not the question), I strongly dislike commercial settings -- I get so scared to do anything because I fear what I do contradicts something I've forgotten on some random page, OR that something I do will contradict some major point in a not-yet-released publication. Though I may occasionally mine out some ideas from something published.
As a player, it depends on how much I trust the DM and how long I'll play with him. For instance, in a one-shot game or a DM that I don't trust, I'm okay with a commercial setting (it's easier for the DM to just say "X setting" to invoke the tone and feel and scene). For a longer-term game, or a DM that I do trust, I'd prefer a homebrew setting -- that way I don't feel like a slave to learn all the backhistory that the character should know, etc. and the DM would have the time and skill to set the tone and setting as appropriate.
Edit: added a sentence to each