Settings become interesting because of strong themes and ideas, so any setting that lacks strong central themes and ideas will end up feeling dull.
I know there are fans of it out there, but I never liked the Forgotten Realms simply because it never seemed to have any real strong themes. It might just be the horrible 3E FRCS which was my only major exposure to the setting, but it seemed less like a setting with strong theme and more like a giant mass of aimless detail.
Honestly, because of this principle I tend to find that smaller settings designed for very specific kinds of games tend to work much better than large, world-sized settings designed to encompass as many kinds of games as possible.
I mean, I like Eberron in large part because it focuses so much attention on the central core of the Five Nations and the Last War, so that it particularly emphasizes certain kinds of stories and campaigns in a way a more generic and open setting can't. This is also why I have tended to dislike any Eberron product that puts a lot of effort into detailing more peripheral regions of the setting like Riedra or Argonessen.
Ultimately, I am the kind of guy who likes to custom-build homebrew settings for each individual campaign, which probably says a lot about my taste in settings.