I voted other.
The problem with the first option, providing every piece of information is that players have access to that information as well. Now, while this doesn't have to be a problem (afterall, settings like Forgotten Realms and Greyhawk have been around for decades), it can be a problem for a new DM or for immature players. The former will not be comfortable in changing things willie-nillie, while the latter will end up using their knowledge and/or getting upset when they find that what they've been reading has no impact on a given game.
The problem with pure myth is that there really isn't a setting... And, I always get the impression that published material that heavily utilizes myth and rumor do so in order to sell more products in the future that will either clarify matters or confound things (Planescape was notorious for both). Certainly, this make up provides a DM with a greater degree of control, but it also requires the DM to do more work, and often requires that s/he buys more stuff.
I don't play in any established settings. I enjoy writing my own material and I think my stuff is as complex and has the same "hugeness" potential as any established world. I do buy material that will provide me with more "crunchy" information, particularly spells, feats, and PrCs. When I do buy other, campaign specific stuff, it's usually because I know that "crunchy" material will be present.
