Ptolus!!!
Pros: The most luxurious setting ever written for d&d. Almost 700 pages describing the city of Ptolus in detail. You've got it all: dungeons, demons, intrigue and crime. I dared my wife to ask me a question about ptolus that I cannot answer and she has failed miserably. (Some of the questions answered: "where can one have a proper shave?" and "where are the brothels located?"). In short, it is an amazing book.
Cons: Say goodbye to 120$.
Arcana evolved (another one from malhavoc)
Pros: A world with very different races and classes from your standard d&d so if you want a change of pace (like I did) that's a great option.
Cons: None, really. Some people complain on the lack of detail on the world, but it is designed to let the DM take the setting and make it his. Worked for me.