I don't think I could find one particular world that is my One and Only Favourite, but I will rank Dragonlance, Forgotten Realms, Paranoia!, and Stargate up there as truly enjoyable. I have had some good luck with the Firefly RPG as well.
I cannot wait for Kubla Con later this month when I get to indulge in RPG heaven for 3 days. There's a guy who comes and does Seventh Sea and Stargate with full tabletop sets and dioramas. Costumes get you points. :-)
I also think the quality of the RPG depends on the skill of the GM. I've had some truly boring Forgotten Realm's games. I remind myself every year to be on the lookout for that GM.