Ok so first thing about a setting is there isn't one answer for all games. Currently I'm toying around with two games in my own personal fantasy setting Ashen Grey, but I also tend to run a lot of modern horror and sci-fi. Depending on the genre I look for different things, but for the sake of not writing a book I'm going to stick with fantasy as that's what it seems like you're asking about. More importantly D&D style fantasy (as opposed to historical or post apocalyptic).
What's The Flavor:
So even after selecting a genre the next question you should ask yourself is what kind of moods and themes are you looking to play with. Fantasy is fine, but if you're looking to do swashbuckling adventure you're not really going to need a whole bunch of background for the politics of the ruling class. It's nice background and helps if you want to add intrigue and backstabbing into the game, but again that's another flavor. The trick here is understanding that you don't HAVE to pick a single style, some blend like chocolate and peanut butter while others are water and oil. For example don't pick a setting where heroes can just go to a shop to buy a powerful magical weapon if you want struggle and fighting for every advantage to be the mood of the game.
Personally I enjoy fast action packed games, even my horror games tend to run with an action bend. I also know what flavors I don't care too much about. I'm not a big fan of having to memorize a textbook worth of backstory to make sense of the world. This means I don't look to deep into things like "this happened on this date therefore I need to now this so that I can make a character to quest for that" or "well I know the god of this had a history with that other god and therefore I can cite it to give myself free license to go this other thing whenever I want". This is also why I tend to make my own settings but more on that later.
What Kind of Wonder:
Every game has some form of wonder. The easiest place to see this is how magic plays in your game. Currently I'm running a setting with a LOT of magic, but also Steam-punk technology. I'll admit this is a bit of a balancing act as just thinking "well I want a ton of magic because it's amazing and I want to blow my players away" will result in magic just becoming ordinary and actually losing some of its impact. That's actually what I'm doing the my setting to put a spin on things (more on that later also) and then making the steam punk the actual rare and wondrous stuff.
On the flip side if you make the wondrous stuff rarer it can have a much bigger punch when you do use it. If you run a game where the players think magic doesn't even exist and they eventually run into a sorcerer that throws a fireball they aren't going to now what to do with themselves. This also means a little can go a long way and when I say "fireball" I wouldn't actually advise something that devastating right out the bat or else you might run the risk of players thinking you're being unfair instead of revealing something they didn't now before. I used magic because lie I said it's on of the easiest ways to show wondrous vs ordinary, but that's that's not the only wonder you can have. Monsters and even just non-humans can be wondrous in the right light and amazing unique environments are a great way to throw in wonder in any game no matter the setting.
Where's the Twist:
The twist is what makes this setting different from others, or at least different from the norm. As I said earlier my setting uses steam punk to be the "new" magic in a world where magic is already abundant. That alone makes it a very different world from the Tolkien style fantasy most D&D is. Lost of settings separate themselves by what their twist is. Spell Jammer (A setting a love and hope to see move to 5th Edition) is a great example of this as they too the idea old D&D and just asked "What if it was in space?". They didn't make it sci-fi, it's still VERY much a fantasy game, it just happens to be in space traveling the stars instead of across oceans.
The twist is probably the main thing you will look at if you're choosing a preexisting setting and honestly there isn't a single answer as to what is a good choice and what isn't. The best thing is to just find one that grabs you and look into it. when it comes to making your own setting this is where you can add a ton of new life into a setting you already have. Just take what you have and ask "what if X was Y instead?" This could be as major as Spell Jammer's space question or as small as "What if Elves were Orcs and Orcs were Elves?" The more stereotypical aspect of your genre to play with the more you can change with a single tweak. The trick here is to make ONE big change and then look at the little changes it would create. That one change will ripple so far into your world that everythign will change at least a little and that's all you need. (In fact thanks to this I thin I know what one of next week's articles will be about thanks Dave).
This is YOUR Setting:
When you make a setting yourself it's easy to see that this is your game, but this is true about pre-made settings too. Nothing bugs me more than a player that proclaims I'm running a game "wrong" because they know a bit of background of the lore I didn't and thus I've now made a ruling that makes this game "non-cannon". Once a game hit's your table it is yours. Pre-made settings are great, but no two games will run the same and that's fine. In fact that's one of the great things about table top gaming. This isn't about choosing a setting as much as when you run it and that's run it your way. If you find a setting you like everything except this dumb story in the history then remove it. This isn't a pre-programmed video game and make use of that.
This is actually why I NEVER run a setting directly out of a boo. I always fiddle and tweak things. One this prevents players who think they can "beat" the GM by reading up more on it than me and try to game the setting with information they as players probably shouldn't even know and two I bought it and I'm running it so this is mine now. I often actually link different settings to exist in the same universe with call backs and Easter eggs. Even if they are in different systems.
Some might ask how games from different systems can be in the same world and my answer is that it's exactly the same as movies from different directors can be in the same universe. The key is to tell stories that interest you and are fun. If all else fails it seems lie you already found a setting you love so loo at it and think about a reboot. Look at what themes that have gotten stale and replace them with some new ideas. Rename the key locations and NPCs. Then pic one thing about it and twist it to see how that would change your world. Then "Bam!" you have a new setting that is familiar, but fresh.
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