It depends on the game ... for hack'n'slash fun, there's no need to go beyond Greyhawk.
But for a more story-oriented game, I prefer a setting with some focus, if you see what I mean, without the Disneyland atmosphere of having a bazillion different intelligent creatures. Take Middle Earth for instance ... there are humans (and a few variant humans such as the woses), elves, dwarves, hobbits (who are a derivation of humans), orcs (who are a derivation of elves), and trolls. That's it for races ... no gnomes, no kobolds, no hobgoblins, no gnolls, no bugbears, no dark creepers, no genasi, etc, etc.
This gives the world a certain cohesion ... everything ties in to the world creation story somehow, and it all ties together.
Or even more extreme, take the Hyborian Age: there are a dozen human cultures, but no demihumans of any kind. This makes the rare sentient nonhuman or monster seem all the weirder. Yag-kosha, sitting in the Tower of the Elephant, is a freak unknown to the world of man, rather than just another "race." While a few specimens of the snake people or the giants of Acheron might still be lurking in corners of the world, they would never be player characters.
I guess what it boils down to is that I like a world that is interesting in its own right, rather than just being filled with a lot of different stuff.
-The Gneech