I made my argument for Greyhawk here. It was an easy choice for me, but I readily admit there are other strong choices:
Glorantha, Harn, Forgotten Realms, Birthright, Ravenloft, Whatever the world in Palladium Fantasy is called, Middle Earth, Spelljamer - they all had their own magic.
Favorite world I've never played in or run a game in? The Wilderlands.
Greyhawk was my first, and therefore my first love, if you will.
So, what's your favorite fantasy RPG setting? Is there a setting you want to play in but never have?