This one, I think, is the hardest question yet.
I'm intrigued by the alternate history setting of Colonial Gothic and the politics-driven worlds in Dune and Legend of the Five Rings.
I like the ideas presented in the far future Earths presented in Gamma World and Shadowrun.
I love the World of Darkness, and the Star Wars universe, and could go one of many different ways just in Dungeons & Dragons alone.
A strong runner for my favorite gameworld is that presented in the Magic: The Gathering card game. This is not to say that the various planes of this setting might offer anything different than any number of other settings, but transitioning between those focused settings is even scripted into the core of the game's idea. Planeswalkers tread the planes with ease, bouncing from place to place to pursue their goals, and every character would aspire to be a Planeswalker.
However, I have only ever played in a (VERY) short-lived game set in M:tG's vast playground, and that game never left Dominaria (the game's version of a Prime plane), so perhaps I'm jumping the gun some with my declaration.
Certainly, if you look at my game mastering history, you'd not find a game set in the realms of Magic: The Gathering. In fact, you'd not find much diversity at all. There is, of course, Marvel Universe, from my goes at running the Marvel Super Heroes Adventure Game in the late 90s/early 2000s, then the World of Darkness, where I began my forays into game mastery, and have tarried in periodically since I began to game, but there are three D&D campaigns that pretty constantly stay at the top of my list whenever I decide I would like to run a game.
Dark Sun, the Forgotten Realms, and Ravenloft each hold a special place in my heart, and I would say I've probably ran an equal amount of campaigns from all three. The fact that I gravitate to horror media (perhaps due to those movie marathons Mom used to take me to when I was young) made Ravenloft an early favorite of mine when I decided to finally try my hand at running a D&D game. Later, my friend Chris got me hooked on Dark Sun by constantly chattering about it and the key differences that made the setting just different enough to keep me firmly rooted in the fantasy genre with a bit more of a desolation and hopelessness that appealed to my sadistic streak, I suppose.
Then there's the Forgotten Realms. Without a doubt, if you tally the number of sessions together that I have ran in successful campaigns, this setting would blow everything else out of the water (though I think Eberron is gaining now). Darkwalker on Moonshae, a pretty phenomenal novel (in my opinion), by Douglas Niles, opened the door to the Realms to me when I bought it on the cheap from the local bookstore. Shortly thereafter, some toy chain was selling out of their rpg stock and I got the Gray Box on the cheap. I devoured it, then began reading all I could about the setting. Many people say that they don't care for the Realms, or would never run a game in the setting because everything has been fleshed out, but that's a strength to me, and has helped me develop some of the campaigns I'm most proud of in my DM career.
Having said all that, I'm still not sure that I even have a true favorite gameworld, and maybe that's the way it's supposed to be. Simply, my favorite one is any setting in which I run or play in a game at a given time where I have fun.
As an aside, you may be wondering why I didn't mention my homebrew, Khardtha. This is because it's simply not my favorite. It's my playground, to do with what I will, but I've never played in it and it's incomplete, anyway. I do have fun when I tinker with the setting, but it's the fun coming from creating, not from having experienced something.