Depends upon how "vanilla" you want to go. If you want something more vanilla (traditional D&D), go with the Forgotten Realms or Golarion; I'd veer towards Golarion because it is a "living" setting that is actively supported with new products, whereas the 3E Forgotten Realms (pre-Spellplague) is "finished," so to speak. Of course there is plenty of material to last a lifetime, but it is nice having the sense of being part of something ongoing and alive.
If you want something less traditional and more atmospheric, I'll cast another vote for Scarred Lands--a great setting.
There are plenty of others worth checking out, as proven by this thread. But if money is a concern, scour Ebay and look at what old setting books are priced. A lot of stuff can be had cheap on Ebay (e.g. I got three Oathbound books for something like $12 including shipping, and there are lots of cheap copies of the main Scarred Lands book, Ghelspad, out there) but other settings are rather expensive, like the Iron Kingdoms or the Wilderlands of High Fantasy.
Let us know what you decide to go with!
