I think that, when it comes to published D&D game settings, I'm going to have to go with Eberron, because it has everything I could ever want out of a D&D setting. Big cities like Sharn provide plenty of opportunity for urban campaigns, Argonnessen is literally a continent of dragons, Xen'Drik holds ancient ruins ripe for an Indiana Jones-style pulp campaign, and the Mournland is like a classic dungeon scaled up to the size of an entire nation.
I really like the impact that D&D-style magic has on the setting. Dragonmarks and the Dragonmarked Houses led straight to creations like airships, the lightning train, and the warforged. Combined with the pulp theme, Eberron is perfect for high-action campaigns – in what other setting can you throw a classic train robbery into a D&D game?
What I love most about Eberron, though, is the exploration possibility to it. In other settings, almost everything is written down and stated explicitly – the mysteries of the setting are almost always written down for the DM to refer to. Not so in Eberron. The key mysteries of the setting – the Draconic Prophecy, what happened to the Mournland, who the Lord of Blades is – are all left up to the imagination of the DM. What else is better than to have a published setting with hundreds of adventure hooks and yet still have all the hooks be left to the whims of the DM?