This one is also easy - my favorite game world is my own. Beginning in my freshman year of high school (a lot of guys out there start this sentence referencing college, but I never went), I began work on a world called Helenista. It was not quite vanilla D&D, and it was based around 2nd Edition. It had a heavy Greek/Roman influence with the Empire of Thrace at its center (no historical basis - the only similarity would be there was an emperor). It was fun, and the players pillaged the whole continent for about 8 years of real time, and topped out about 12th level. In fact, 6-12 was the sweet spot for that campaign.
Before that I had used the assumed setting that was developed for various modules for BECMI, the Known World. I like that world just fine, but I like my own much better. I've never run the Realms, or Dragonlance, or Dark Sun. I did enjoy playing a Spelljammer scenario one time, but I've never run it.
Now I'm hard at work on my new world, which is heavy on the swords, sorcery, and demon fronts. There are no elves, no dwarves, and definitely no halflings. I'm using Swords & Wizardry as the base, with a mongrelization in nearly every subsystem from some other OSR ruleset or official D&D game version. I like to world-build through mechanics, and I also world-build through monsters. Now I'm to the point where I'm taking the drawn map and working on transferring it to a numbered hex map so I can plan the hexcrawl aspect of the campaign. It's going to be a ton of fun. Especially for me. I'm blessed with players who don't know the meaning of "run!"