Wizards in Covenants. I am referring, naturally, to TSR's Mystara (the Known World to us Moldvay/Cook players) and Greyhawk settings. The settings come from opposite sides of the Fantasy genre spectrum. Mystara has hope and humor and whimsy. Greyhawk has shades of gray, hopelessness due to the ever encroaching reach of Evil, and shady politics.
You won't find slave trading nations engaging in espionage and sabotage in Mystara and you won't find the Elvish Liberation Front in Greyhawk. I find no contradiction in the fact that I love two settings so diametrically opposed in their respective tones. Mystara's Pratt/DeCamp style is wonderful fun to play around in, as is Greyhawk's Howardian/Moorcockian gloom. No fantasy setting has set my imagination alight in quite the same way as these two have. Eberron comes close, but it is in many ways a combination of those two worlds.
There are quite a few Fantasy settings written by companies other than Wizards of the Coast, and many of them are very good. Green Ronin's Freeport setting is very popular. The old school Tekumel holds cache with many. The City State of the Invincible Overlord appeals to still others. These are but a smattering of the offerings available, but none of these truly ignite my imagination. I will use ideas from them, to be sure, but none of them call to me at night demanding to be read and re-read.
That honor lies with Paul "Wiggy" Wade-Williams' Hellfrost campaign setting for the Savage Worlds roleplaying game. If Mystara is Pratt/DeCamp and Greyhawk is Howard/Moorcock, then Hellfrost is Poul Anderson/George R. R. Martin. Wiggy's setting takes all that is horrific about medieval stories and puts them into a setting where the players find themselves in a desperate -- and likely hopeless -- struggle against powers beyond their ken. Inspired by the Norse concept of Fimbulwinter, the Hellfrost campaign takes place in a world that is slowly freezing. Summers are getting shorter and shorter, and the winters are getting longer. The god of the sun has disappeared, and may be dead, and the gods of death and winter are growing in power. How does one survive in such a world? Desperately.
The setting is made all the more appealing by the sheer "prolificity" of its author. Wiggy is a writer of the Walter Gibson school. His writing is so prolific that I wonder when he has time to eat, or to play in the settings he has created. Yet, it is evident from his casual internet posts that he does in fact eat and play a great deal. Where most indie rpg companies are lucky to come out with three or four products a year, Wiggy has a new product available on his company's website every week. Since 2008, Triple Ace games has published over 90 products for their fans -- and they are of remarkable quality for the volume.
Do yourself a favor and check out Rassilon -- the world of Hellfrost. It can easily be converted to your favorite rpg system, though it works very well in Savage Worlds.