This is a real toughie, when i'm running a game its usually homebrew or at least an amalgamation of different things. My major problem with canon is that its exactly that, canon. As my usual games are a mixture of me feeding players info and them coming up with stuff its really hard to fit that inside a strict cannon setting, hence things usually become a hodgepodge of stuff re-labelled or changed slightly.
I like the current Nentir Vale setting for 4e, aside from the actual Vale very little is documented, there are hints of stuff which is great - threads I can spin a story from. Aside from that if I had to choose a very detailed setting it would probably be Darksun? Maybe even Ebberron? I like both. So whats my favourite gameworld? Heck if i know, they're all pretty good i suppose!