Another difficult one. There are so many fantastic settings but they all boil down to what the group make of them. They're also so different I'm finding it very hard to compare.
Shadowrun and (old) World of Darkness are wonderful, versatile settings, both of which are likely to get me running to your gaming table. If you haven't tried them, I highly recommend both. Shadowrun is cyberpunk with added fantasy motifs, whilst World of Darkness has an intricate network of supernatural beings, each group with its own agenda and its own political intrigues. I think these are my favourite settings - I think the other settings I've played and loved (Deadlands, Pathfinder, Final Fantasy, Aberrant, Exalted) have been made so great by the GM & players.
So you know what, my favourite setting is the one with the most collaberative, most imaginative group turning it into something truly special. But Shadowrun and World of Darkness are good places to start.