A lot of settings have potential, when you think about it. Even settings used in horrible games.
Personally i like the STALKER "world". Everything, even the terrain is hostile. Lotsa mysterious bunkers littered about and artifacts.
I could list dozens more that i like..
edit; a few
metroid, zelda (as said before, needs more details and life), starwars (stay away from jedi BS), pokemon (if you remove the pink layer of kid-friendlyness and massive stupidity), ..