I haven't found the right setting yet. Which isn't to say that they aren't wonderful in their own way, of course. Your favorite Dungeons & Dragons settings all have something going for them. My personal favorite is Dragonlance. My entrée into the genre was through Krynn, and it still holds a special place in my heart. I also have things that I love about Forgotten Realms, Mystara, Planescape, Ravenloft, Blackmoor, Scarred Lands, Dark Sun, Spelljammer, and Eberron, among others.
I also have things that I love about the granddaddy of them all, Middle Earth. We all owe a great debt to The Professor, and to other fantasy settings that haven't made it to mainstream role playing games (yet) by LeGuin, Brooks, Pratchett, Feist, Green, Vance, Lewis, Alexander, McCaffrey, Butcher, Rowling, Pullman, and others.
Not to mention real-world cultural bits and pieces ranging from Greek gods to Christian mythology. Oh, and things like Arthur, Beowulf, and their heroic kin.
Anyway, I want to write my own stories, set in my own universe. I want to build my own characters, and build on my own ideas. All of which ultimately sits on a foundation made by others, of course. Good writers borrow, great writers steal. So, with the immense heritage I outlined above, what to steal; er, keep, as a foundation?
Here's the idea. I want to build a Dungeons and Dragons setting. Maybe I'll write stories set there someday; maybe I won't. No plans, no pressure. I want to make the setting compliant with the System Reference Document, or SRD; the open-source rules summary available for the game. The SRD contains all of the "crunch" of the game; the hard numbers that make up the core rules. What it DOESN'T contain is the "fluff" of the game; the descriptions, backstory, and setting. That's where I work. My challenge (to myself) is to throw out the fluff from the Player's Handbook if it doesn't work, but build a setting that's SRD-compliant.
I want the setting to be fun. If it's completely different from anything that's gone before, great! If it's a blatant ripoff of Tolkien, or Hickman, fine. Keep what works, build the rest from scratch, as long as it's fun for me.
I want the world to make sense to me. To be internally consistent. Not be constrained by what came before. Let's see how it goes.