My preference is a setting that is interesting (to me) and does a great job of making you feel like you're actually there. At the top of my head I would say Halo, Bioshock, and Assassin's Creed are good examples for this. This is also the reason I love games set in the past, (Halo does not apply, obviously) because those games do an excellent job of making you feel the times the game is set in. Bioshock: Infinite exceeded with flying colors at this, and it seemed that most of the game was influenced by early 19th century American culture at every step I took. I wish that games nowadays were made with with more of a "Past" flavor than present or future.