Another easy answer. My favorite RPG setting is the Forgotten Realms. Although it has existed for various editions of the game, my absolute favorite version of the campaign is the first one, the gray box released for AD&D 1st Edition, in 1987. This was the first campaign setting product I purchased for myself, because I wanted it, independent of the wants/needs of my gaming group, and it left a mark on me. I didn’t understand why exactly back then, but it is clear as day now, looking back.
The Forgotten Realms would go on to be super developed by TSR/Wizards, to the point of becoming a joke. But back then, the gray box? That wasn’t the case. That box was brimming with possibilities. There was a lot of detail about the world, yes, but it wasn’t an exhaustive encyclopedia, more like a catalog of bits of fact, myth, and legend. You would get just a few words, a few sentences, about a place, a group, a situation, and then it was up to you to fill in the blanks, to figure out their future. The gray box was a snapshot in time of the Realms, and what happened next was entirely up to you, up to me.
I ran with that. The Realms became my home away from home, my default fantasy world. All my adventures took place there. I became a citizen of this world as much as I was of my own. In many ways, I still am.
A few years ago I wrote a post titled Why I Love Thee, Forgotten Realms, in which I go through my history with the campaign setting, and write about why I fell in love with it. Check it out.