Setting for me is everything so I have a hard time coming up with a good answer. A few settings that come to mind for me though are Cyberpunk (all): I'm a sucker for the dystopian hard future settings, also otherworldly fantasy settings like Darksun or Faerun.

 So I'm interested, what's your favorite and why RPoL?

Forgotten Realms Pre-$th edition.

Ed Greenwood and his buddies just seemed to give me a really huge playground with lots of nooks and cranies. Most of which are wide open enough to do whatever I want, but minutia filled so I can dwell on all sorts of things. To me, that whole setting felt like a world, rather than just a continent, if that makes sense.