Picking a favorite RPG setting is pretty much impossible for me—I buy RPGs for their settings all the time, and any new setting that is also detailed is likely to make me fall in love with it. So this is pretty much going to be a list of RPG settings that I think pass the bar—specifically, that they are worth playing in even if you don’t like the mechanics associated with them, or you have to make the effort to rework new mechanics to go with them.
Jorune, from SkyRealms of Jorune, is a distant world, colonized by humanity in the far future. Then the humans got a bit too colonial, the natives fought back, and the resulting war devastated civilization. A few thousand years later, it is a world of recovered science and mystical powers, with multiple distinct genetic heritages (the natives, earthlings, and the descendants of another world that had also tried to conquer Jorune (and failed)). As much due to Miles Teves art as to the writing, every bit of Jorune comes to life
Mythic Europe, the setting of Ars Magica, is probably my favorite setting that I’ve gotten to play in for more than a convention one-shot. The central conceit is “Medieval Europe as the denizens at the time saw it”—plus a secret order of wizards. What I particularly love about it is going back several steps from the familiar monsters and tropes of most fantasy and modern folktales to something much closer to their source. Something that is at once familiar and unfamiliar.
New Europa, the world of Castle Falkenstein. Where Mythic Europe tries to hew close to a vision of historical Europe, New Europa plays fast and loose, mixing up history, using fictional personages, changing the geography and politics, and subverting our expectations of dragons and elves (among other things).
Eoris. I bought this game for the world. It is both a fascinating, alien world, and one beautifully realized, making it easy to imagine yourself there.
Mechanical Dream. Another bizarrely alien world, which I’m not even going to try to sum up.
Poseidon, from Blue Planet. I love the plausibility of this world, as close to a hard-scifi alien world as I think I’ve seen in RPGs. Plus, you can play a dolphin!
Karma, the main planet in SLA Industries. Dystopia, satire, and a metatextual underpinning set this world apart from nearly any other—though there are echoes in The Chronicles of Riddick, Brazil, and The Fifth Element.
For the most part, I wish the World of Darkness (both old and new) had stayed closer to the mythologies it is nominally providing the underpinnings for. But the cosmology and history of Werewolf:the Apocalypse is amazing, and I can’t get enough of it.
DragonMech is a deliciously ridiculous premise, but the writers play it straight and simply crank everything to 11, and the result is a world, Highpoint, that makes me want to play in it, even if it does use D&D3E rules (more or less).
Fading Suns has one of the most interesting space opera settings I’ve read, in RPGs or fiction, and I could play this game for years without tiring of exploring its universe.
There are quite a few others, but I think that’s a long enough list for now.