To the OP: I Buy Pathfinder More for the Game than the Setting, but I do make setting purchases.
Golarion is not my favorite Setting, that would be 2e/3e Forgotten Realms, but I'm running it at the moment because I wanted to try something different. This week the players will be pulled into the mists to deal with a 1-shot Ravenloft Adventure from 2nd Edition (which I'm converting up).
One thing I've always wanted is a Forgotten Realms Encyclopedia, in Textual Form (with complimentary PDF). A Comprehensive setting document, detailing all of forgotten realms that has been detailed in 2e or 3e, and detailing the people and whatnot. It should include the Grand History of the Realms, but that should be a small part of it. Most of the info would be a simple reprint, though it would involve some editing. The thing would be thick enough to warrant 2 volumes. I'm never going to get one officially, but I'd love to have one. Enough so that I may some day compile the thing myself. Probably mechanics free, with a list of things needing mechanics.
However, 4e's Points of Light design policy and the other changes they made killed forgotten realms for me, and so I won't play in their new world. Part of what I liked about Forgotten Realms was that it was a complete world, and not a Points of Light thing.
Also I'm picky about mechanics, and I don't like alot of the core elements of 4e.
I could build 4e into something I would play via houserules, but I'd be making very widesweeping changes and it would be alot of work (Like designing a new game). Making a much smaller number of changes to Pathfinder, I can have more of the game I want.