Oh man, this is a tough one. So many great settings have come and gone. Really, "setting" is one of the things that attracted me to the hobby in the first place, and one of the things that keeps me engaged and coming back.
So I don't think I could ever choose a single one I've enjoyed the most.
One that comes to mind as being up there in the Top Ten, though, is Riverworld. GURPS Riverworld was among the spate of licensed settings/games I purchased at the beginning of my involvement in the hobby, and like all the other ones, I had zero familiarity with the source material. But the cover really snagged my attention: a somewhat futuristic-looking paddle-wheel steamboat decked out with missiles and artillery, escorted by biplanes, making its way down a huge river valley. And then I read the copy on the back:
Welcome to the Riverworld, where everyone who has ever lived is reborn, from primitive cave-dwellers to astronauts . . . all on the banks of a mighty river millions of miles long. At the end of that river lies the ultimate secret of the universe – and the key to human immortality!Wowza! How could I not be swayed by such a high-concept setting? I mean, really!
The grand vision of Philip José Farmer's Riverworld series is brought to life in GURPS Riverworld. Your character can be anyone who has ever walked the Earth – play famous historical figures, or even yourself! Meet people from all across history . . . re-create technology . . . form nations . . . build riverboats and airships . . . journey to the Polar Sea and the Dark Tower of the Ethicals!
The trouble was that I was way too inexperienced (both in real-world terms and as a GM) to really do justice to the scope of the setting, or the challenges inherent in running it (there really aren't any environmental challenges to speak of, and it's almost exclusively NPC-driven, with those NPCs conceivably coming from any time in human history!). I ran a short campaign sometime in high school, the details of which I'm still trying to drink away. I tried again about 10 years ago and things got off to a promising start, but then fell apart when one of the two players moved out of state. (And this being in the days before your Skypes and your Google Plusses and so forth.) Back in 2012, I tried yet again with the same group from the aborted 2004 campaign, and the third time proved a charm.
In addition to the satisfaction gained from finally getting a chance to run something in a setting I'd owned and loved for 20 years, I got a lot of interesting insights into the philosophy behind Farmer's creation (points completely missed, it seems, by the 2010 SyFy adaptation, but what else is new?). It's not often you get a bit of food for thought out of a campaign you run, but I definitely did this time. And it was suitably entertaining enough that I'd like to do it again some day. Some day. . .