I like many of them, but if I was forced to pick just one published setting, I'd go with Al-Qadim. I love the character options: elemental mages, sha'irs, holy slayers, etc. I love the various organizations - the Brotherhood of the True Flame being the primary one. I love the variety of styles it accomodates: urban adventures with courtly intrigue and bargaining in the bazaar, treks across the desert, treks through deep jungles, delving through the ruins of ancient cities, sailing the high seas, etc. I love how there are a wide variety of races, but all the usual racial tensions are gone. I love the pantheon - alignment isn't a relevant factor, you can easily make up your own local deities, and all (enlightened) folk pay homage to Fate.
I must say, however, that both Dark Sun and Greyhawk are just about tied at a close second to Al-Qadim, although for different reasons. Greyhawk also allows for a wide variety of play (different than Al-Qadim's variety), but has a grittier feel while still being classic fantasy. And besides, I can always introduce some of the Al-Qadim material into the Baklunish lands. Dark Sun is even grittier than Greyhawk (which seems tame by comparison). I like how many adventures can be just about survival (this is possible in Al-Qadim also, with desert adventures, but Dark Sun is a little more harsh). The concept of defiling magic is just great (and my favourite execution of the idea is the one from Dragon Magazine for 3.5).
Moving away from published settings, I'd have to place my own homebrew at the top. This shouldn't be a surprise, as I shamelessly take ideas that I like from any other setting and put it into my own. Also, my friend's homebrew deserves mention - he's got one of the best cities for urban adventures that I've ever played in.