One more, before I call it a day (I'm still five days behind, so I'll have to hoof it the rest of the week. And I might even want to get ahead, since I'm sure it'll slide later.) For Post #4, the 30-day D&D Challenge for bloggers asks you what is your favorite gameworld.
First off, I'm a dedicated homebrewer. I really can't play in a canned setting without finding some obscure corner where I can do my own thing. I'd rather just homebrew entirely.
That said, I do like owning campaign settings, and I like reading them. And I'm interpreting the question as referring to actual published settings, not my own homebrew (my favorites of which aren't even D&D settings anyway, and are at best "OGL" settings that imply a highly variable version of the rules rather than one that's close to D&D as most people recognize. I only have one setting that I think even qualifies as a D&D setting, in my opinion, that I'd be willing to nominate as among my "favorites.") Rather than simply picking one, I'll talk about a few, with some caveats. And then at the end, I'll tentatively put one forward as the "answer" to today's question.
Iron Kingdoms is probably my favorite setting. The old Witchfire Trilogy of modules is a pretty nifty. This was also one of the first "mainstream" setting that went away from the old high fantasy with a small dash of sword & sorcery, being instead a dark fantasy with a dash of steampunk (both directions that I greatly prefer these days.) The release schedule was crappy--by the time 3e rolled over to 3.5, there really hadn't been many more than half a dozen releases (including four from the Witchfire trilogy + Fool's Errand little inter-module mini-module.) And then after the rollover, Privateer Press delayed their big campaign setting book even more to update it. It ended up being split into two 400-page books. After it came out, there were still only two (I believe) more products released for the game before it faded away and Privateer Press focused more on making their miniatures games, which actually made some significant changes to the setting, in terms of both details and tone.
Plus, as a "third party" setting, maybe it doesn't really count anyway. Although if it doesn't, then neither does Golarion, which while of course is best known as the setting for the Pathfinder game, lets not forget that the original campaign setting book came out before the Pathfinder game and is fully compatible (and expected to be used with) D&D 3.5 rules. Curiously, this is about as D&D-like a setting as any, yet I quite like it. Somehow it manages to take D&D tropes and assumptions and make them work.
If you have to use an "official" setting, then Eberron is my favorite. I really like the pulp/noir feel to the tone, and the focus on lower level characters and its de-emphasis on alignment. I also quite liked the new races (shifters, kalashtar, etc.--I could take or leave the warforged) I liked the emphasis on lower yet more prevalent magic, and I thought the dragonmarked feats were a nice alternative to a lot of spellcasting. The only problem I had with Eberron really was that it was straining, it seemed, to not be D&D at all. Rather than really embracing all the D&Disms, it felt held back by them. If the setting had been designed as a Savage Worlds rather than D&D setting, with a few D&Disms intentionally left off all along, it would have been even better.
And finally, if settings designed for the 3.5 edition, by Wizards of the Coast, doesn't really do it for you and you believe that only settings designed for a more "traditional" ruleset, by TSR count, then I guess I'll go with Planescape. I like that well enough, although I'd rather borrow a bunch of Planescape stuff and re-arrange it (and mix it with some other stuff, like Paizo's Distant Worlds and Malhavoc Press's Beyond Countless Doorways to have created my "Wagon Train to the Planes" game or something. But Planescape is one of the few pseudo-Old School settings that I can actually read and feel excited about playing. That certainly is not true for something like Greyhawk, Forgotten Realms or the Known World.
A quick shout-out to Freeport which I also quite like, but which is third party, which is technically systemless in its current iteration (although it certainly feels like D&D more than anything else). I disqualify it for consideration based on the fact that it's not really a complete setting; it's meant to be a modular setting element that can be dropped into another setting instead. The latest version of the book did have a little epilogue chapter that kind of added a setting, but it was really brief, and I doubt it was really meant to be used for much other than a tiny bit of background--there simply wasn't enough meat behind it for it to be anything else anyway.
In the end, using those caveats, and not counting "unofficial" settings, I guess my vote goes to Eberron. If you can count third party settings, then I pick Iron Kingdoms, but if that's too weird and not D&D-like enough, then I pick Golarion. But in reality, as I said, nothing beats a good homebrew.