My favorite published D&D setting is Greyhawk. The reason I like it so much is that it's built to be a D&D World. Some other settings are very ambitious with all of the elements they include, and those who love the setting are familiar with a deep metaplot. This is fine, if that's what you like, but the Greyhawk box set by Gary Gygax supports a D&D game straight out of the box without any fuss or concern about other people's plots.
I've played in and run adventures in several regions around the Flaeness, but for some reason I keep returning to Ratik, which really has a lot of what I'm looking for in my settings. It's a frontier. It's got barbarians. It's got an evil empire, but not one that's up in your grill every day of your life.