I myself would have to go with the Forgotten Realms as my all-time favorite setting. There were plenty of good settings, especially in 2E. We had Birthright, we had Greyhawk (in both 1E and 2E!), we had Ravenloft, and many people liked Planescape (very well done, just not my cup of tea).
But to me, the Forgotten Realms was always the most magical. Granted, it did become an idiotic, unending soap opera of power escalation, poor writing, and shoddy design later in 2E. But with its introduction in 1E and even into the early 90's, it ruled!
I think the reason I liked FR so much is that it originally captured the feel of a truly fantastic other world. Greyhawk always felt too political for my tastes. A bit too medieval if you will, at the expense of fantasy. But the FR was magical more than anything. To this very day, reading through the 1E FR Campaign Setting box set gives me the feeling of being drawn into a forgotten world somewhere in the depths of mythological time. It was so rich with interesting things.
There were so many great enemies such as the Zhentarim, the Red Wizards of Thay, etc. There were fantastically developed areas like the Old Empires and Waterdeep. And of course, we got the ultimate gaming accessory of all time and the finest dungeon ever designed by mortals...the Ruins of Undermountain!
While Greyhawk is more nostalgic as far as being the first world I ran into, I think the FR also wins for me because it's the first world I had a regular campaign in. So gaming-wise, it's even more nostalgic to me than Greyhawk.
So for all those reasons, FR wins for me. What do the rest of you think?
And, when we're done discussing this, there's an interesting follow-up question that I think you'll enjoy, so stay tuned!
jk). 
