Let's see... keeping only to AD&D and D&D settings published by TSR and WotC, lest my list swell and bloat like a balloon...
Forgotten Realms. For a long time, my default D&D setting. Played and ran innumerable games here.
Greyhawk. I was involved with the Living Greyhawk campaign for many years, and still haven't abandoned our region of Naerie.
Eberron. Something that we dabbled with during the 3E era and still occasionally do.
Spelljammer I only got to run, and a single session at that. I dearly love the weirdness of it, though.
Planescape was another setting that I never got to experience except as a DM, but I have run more than one campaign of it. I'll be revisiting the planes, one day.
Never got to play or run Birthright, though there was one campaign we had in the planning stages that then fell apart. Dark Sun, Dragonlance, Ravenloft, Al-Qadim or Mystara I never got to play. I've collected books here and there, though, and game outlines in various stages of planning for all of them except Mystara. I'll be going there yet.