I'm a big fan of Theah from 7th Sea, personally. A swashbuckling world with just a pinch of the supernatural for flavor? Yes, please! Conspiracies and politics and pirates and did I mention the swashbuckling?
I also enjoy the world of Eberron, and I look forward to the day when I can break it free from the ball-and-chain that is D&D3.5. Low-scale but wide-spread use of magic, allowing something resembling a modern civilization to come about. I still remember my first character idea for that: a Warforged artificer who dreamed of creating an underwater version of the elemental airships, so that he could exploit the vast deposits of dragonshards that must logically exist in the seas north of Xen'drik.
Rokugan from L5R is also a lot of fun, though it can be difficult to maintain group cohesion. The only ways I've been able to make it work are through Emperor-fiat or the restriction of all PCs to a single clan. Or make it a psuedo-competitive short game.
ETA: Removed Shadowrun because I apparently can't read the topic.