Reading this heading, I'm somewhat at a loss. Most of the games I've run are for systems that are setting-less, for the most part. I'm more used to world building around the stories that we're going to tell. I also haven't read too much into existing settings, and again maybe that's because I traditionally created them myself. The biggest exception would probably be Star Frontiers, but even that we just sort of made up as we went. The recent game I've set based on this isn't very setting-dependent.
As far as favorite games, I've been leaning towards the GM-less and world building type games, recently, and those sometimes have a guiding concept (and sometimes not), however don't really have a setting.
So, with that said, I wouldn't say any of these are my favorite per se, just that I've enjoyed playing or exploring them, in the limited fashion I've done:
Paranoia
I've only played one game of Paranoia, at a local con (run by Ed Murphy at Strategicon), and it was excellent fun. It feels a little dated at times, and mostly that's a good thing as far as flavor.
Want to feel the love? Watch some excellent Paranoia mission briefings on youtube. One of my favorites is Mister Bubbles Mission Briefing:
Another great is Paranoia DRK-DNG-NSS Sector (Jack-I-CHK-3 Wants You To Kill Commies!), created by Kurt of Jackercon fame for a game he ran online:
Dark Sun
The Dark Sun D&D setting is set on the world of Athas. The basic concept is that magic takes a toll on the surrounding environment (especially if you want to do it the easy way), and hence mages have ruined the world. The setting is dark, with various wastelands, the rule of sorcerer kings, and cannibal halflings (can't get darker than that, right?) I got to play a few games in a friends campaign, and absolutely love the concept, especially in the context of D&D, which traditionally had a very high fantasy feel for me. If I had to play D&D (which of course, I don't), I'd prefer playing in this world.
Shadowrun
Again, dark and gritty, but this time with a little magic and technology crossover, spiced with hackers and corporations. Never played, but recently have loved listening to the Neo-Anarchist Podcast, which takes you through a bit of history in the Shadowrun universe, in the local dialect