damn, this ended up longer than I expected...
1) Planescape: in my group, that includes most of the other settings as possible "Primes of Origin" for PCs.
2) Forgotten Realms (all): in my 2e group this included the following; Al Qadim, Council of Wyrms, Kara Tur, Spelljammer... but not Maztica.
3) Dark Sun: I think we played revised... but our DM ignored the Tyr-changes.
4) Ravenloft (all, including & Masque of the Red Death): I can't vote for them any other way. I was extremely happy with both. I didn't buy into 3e Ravenloft... it didn't add anything I didn't already "know" about the setting... or that I couldn't just convert over myself.
5) Eberron: Awesome setting, I don't have that much experience with it though.
Honorable mention: Jakandor. Awesome setting. Had I actually gotten around to using it... it'd ranked higher. I did have a short-lived Charonti (spelling?) Evoker in planescape... eaten by a Bulette before his time.
~~~
Back in 2e we didn't distinguish between the settings all that much. That is, just cause our party started off in Cormyr (for example) doesn't mean we would end up go through parts of the other settings...
I remember one 2e Planescape party that consisted of... (in no particular order)
1) Brom Zogothe: Krynnish Minotaur Knight of Takhisis (humanoids handbook... with I think a homebrewed kit)
2) Baran Firelight: dishonored Purple Dragon Knight (pretty much a straight fighter / cleric with a kit... in character he was an Ex-Paladin who now worshiped Bane. It is perhaps worth noting that his Player had built and rebuilt Baran probably a dozen times by then. This was the first, and perhaps only, time he was Evil)
3) Alia Al'Bahri: A pirate (corsair) from the Land of Fate who had a malfunctioning Spelljammer and a monstrous crew. She was the fiercist blade in the party. (Al'Qadim, Fighter's handbook, ninja's handbook - the martial arts styles made for a wicked swordswoman). Alia was notorious for up and leaving the party at the drop of a hat for some fool's errand or another... she was the PC of our primary 2e DM. Most often she was a means of travel... and/or plot hook. Did I mention that the Blue Rose (her ship) was capable of planar and temporal travel?
4) Crystalia: Human Psionicist. I think she was a child of 9yrs at campaign's start. Did I mention she was *hella* creepy? Even Krov kept his distance from this psychopath.
5) The Jackal: thief / spellfire wielder (Al Qadim, Volo's guide to all things magical)
6) Krov'Xalyn Odran: Vampiric Drow Psionicist / Cleric of Kanchelsis (Using PHB, Monster Mythology, Drow of the Underdark, Complete Psi... and the Requiem boxset for Ravenloft - Neutral-F'n-Evil - hehe, my PC). Krov was, at one point, also my BBEG for one of my runnings late into the Campaign.
7) Cinnamon Toast: a Red Dragon Hatchling who aged throughout the campaign... we met him during the Age of Netheril and whenever appropriate would end up remeeting the next oldest incarnation of him elsewhere.
ahh... good times.