Well it has to be medieval fantasy. I've liked some scifi worlds such as the arcologies of Paranoia, the mutant throngs of Gamma World, and the backyard Armageddon of the Morrow Project. Yet medieval fantasy is the hands down winner. I've dabbled with stone age tribes, Traveller, and Asian campaigns. I've played "real world" games of Dr Who, Justice Inc, Champions, Top Secret, and even Boot Hill.
Now I keep it vague, because it is vague. I like sword sand armor, but not guns. So let's call it medieval. I like magic, which makes it fantasy. Yet beyond that there is still a lot of variation. I don't play Greyhawk, or the City State, Middle earth, the Forgotten Realms, or Krynn. They just don't get me excited.
I like to make my own worlds. They tend to be higher in magic. Which means you meet wizards and clerics in the street, rather than there being seven wizards in the world. I often allow for things like stone shape in construction, continual light spells, and the idea that fantastic architecture is explained away by magic. Yet I don't always do it this way. I think my next campaign is going to be low magic.
Yet my favorite? I think my favorite game world would be My Tarotverse.
This would be a series of universes, one for each card in the tarot deck. A blow out of a campaign designed to go crazy with every wild variable possible. It started out with a wilderness occupied with Norsemen. Then it expanded into the worlds of Norse mythology. Then they visited dead worlds, Native American worlds, Indian worlds, Egyptian worlds, Babylonian worlds, Mechanoid worlds, the Burning Lands, the Floating Worlds, and even an Eden where they were driven forth by an angel with a flaming sword. The worlds were linked by gates, some one-way, often used for disposing of criminals, some two ways and used for trade. Sometimes civilizations spanned multiple worlds, other times they were trapped in by fearsome monsters. Time worked differently. Magic worked differently. Different races ruled and were enslaved. Maps were found and lost. Characters died, only to be resurrected, reincarnated in odd forms, and replaced by odder races. Other methods of travel were discovered to supplement the gates decks of magical cards, ships which sailed on sunless seas between the worlds, strange herbs which transported one into other worlds. Gods fell, seas boiled, and they always fled before the storm.
When it was over, well I was wearied with world flipping, with odd races and chaos. So the next world was more mundane, an experiment in other things. That is the things about medieval fantasy, it's not limited at all. You can play a game of courtiers or merchants. You can go to war or run an inn. It's a loose frame work that is really only bounded by it's lack of firearms (although I've played those as well) and the existence of magic.