I mostly enjoy fantasy settings, preferably the ones that aren't too bland, cliche or cookie-cutter, such as that of the "A Song of Ice and Fire" series, or maybe even Bioware's "Dragon Age".
But, my favorite setting has to be a combination of those listed in the poll, like Sci-Fi/Fantasy of the "Might & Magic" series, "World of Warcraft", etc. or the combination of Steampunk and Fantasy as seen in Troika's "Arcanum", which was truly unique and amazing