From the sounds of it, you don't have the time or the inclination to come up with your own adventures or (as you've said) your own campaign setting. In that case, I definitely agree with the others that Dungeon is an excellent buy, especially since the magazine is only two adventures into the Savage Tide adventure path. If you're not familiar with adventure paths, they are essentially a series of 11 or 12 linked adventures that form a complete campaign, taking the characters from 1st to 20th level. If this sounds like your cup of tea, you really wont need a campaign setting book at all - Paizo provides FORGOTTEN REALMS and EBERRON conversion notes for each adventure in the AP.
That being said, if you are still interested in a campaign setting book or want to run your own adventures in a campaign setting, there are a lot of options. As I really only have experience with the two settings supported by Wizards of the Coast, I'll stick to those.
FORGOTTEN REALMS is a very high-magic, high-fantasy campaign. It's an absolutely HUGE world, with tons of diverse areas to explore, with famous villains and heroes galore. In a nutshell, it's essentially what most people think of when they think "traditional fantasy."
EBERRON is more of a comic book/action movie flavored setting (kind of). It's actually pretty diverse in terms of atmosphere, ranging from horror to dark and seedy, but it really emphasizes the "over-the-top" action. Also a very good setting, in my opinion.
People have suggested that Dragon magazine is a very good buy, and while I agree that the magazine is excellent, it is generally filled with lots of extra rules content that may confuse your game. But that is just my opinion.
I guess my list comes down to: Forgotten Realms Campaign Setting, Eberron Campaign Setting (if you have both, you can decide which you would prefer to run a campaign in, or both

), DMG II (lots of good campaign ideas), Spell Compendium (perfect for someone who doesn't already own a lot of books). From here it's up to you.
