I'm spoiled for choice. I'm pretty sure it's Spelljammer, because it's just too Out There. On the other hand, Dragonlance has a lot to answer for: Kinder, armageddons-a-go-go, to cite a couple of examples.
But it's not a two-horse race. Oh no. Forgotten Realms. If only they would be. And Greyhawk has to get an honourable mention, just for having some of the silliest place names I've ever heard. And that's saying something, because the others I've mentioned give GH a good run for its money in that regard.
To be honest though, I would define my favourite setting as the one that had the dubious quality of irritating me the least.