I can't really answer this because my answer today will be different than it was yesterday and would change come tomorrow. I just can't pick a favorite. But if I had a chance to visit one, assuming that I wouldn't remain the incompetent lummox I am in the real world, then I would have to choose the Forgotten Realms. The stories I've read in that setting aren't my favorites by a long stretch, I don't even have that high of an opinion of most of them, but the world just screams of a high fantasy setting where anything is possible.
I feel like it would give me the potential to live out all of my ultimate wish-fulfillment dreams from boyhood when my stories were still just shameless self-insertion and I'd be the budding adventurer turned legendary hero, slinging spells and swords left and right and dragons would tremble when they heard my name! Because ultimately, while my writing has matured since those days (at least I hope so!), my dreams certainly haven't and I'm happy for that!
I might like to take a tour of the upper Miskatonic Valley someday. Through the picturesque--though crumbling--covered bridge and past the quaint and friendly village of Dunwich. I wonder why no one has opened a bed and breakfast yet. Note the 'Indian' ceremonial site on that hilltop over there. We should come back and do an archaeological dig next time.
Star Wars was considered "Space Fantasy" when it first entered the world, and that's what I would consider my favorite. If it doesn't count, then probably Azeroth(World of Warcraft), from a Lore stance (not a gameplay one)