Good D&D settings for me tend to be ones that are easily approachable, have lots of easy to use material, and fit the core/standard rules. Of ones that are available (so not Gary Gygax's Yggsburgh) I think Mystara via the Gazetteers (on rpgnow - start with GAZ1 Karameikos), Forgotten Realms (start in the Western Heartlands/Sword Coast) and Golarion (start in Varisia, newbie town Sandpoint is detailed in Rise of the Runelords and briefly in Pathfinder Beginner Box) are all good ones.
If you want something that feels modern, has pretty artwork, a fantastic world book (Inner Sea World Guide) and you want to spend loads of money on slim 64 page volumes, Golarion is great. :)
For sheer playability I'd tend to put Mystara & its 8-mile hex maps on top, especially for open-world sandboxing with dropped in modular adventures.
Forgotten Realms is great if you don't have a setting Nazi in your group or are happy to insist that yours is a non-canon campaign. The 1e Grey Box is probably the best intro if you're happy to tweak the NPC stats; that goes for Mystara too - both settings suffer a bit from excessive levels on NPCs, something Golarion, Eberron & Greyhawk generally avoid.
I'm currently running campaigns in all three of these settings, plus a fourth in the Wilderlands of High Fantasy using the 3e box set (available on rpgnow). I'd say Wilderlands was my favourite open-world setting, but getting its bottom-up orientation to work right is a bit more challenging than the three above; you need to do a bit of work to tie threads together and create a world-in-motion, in particular you need to develop the NPCs yourself, whereas Mystara Realms & Golarion come with plenty of detailed NPCs. Wilderlands is great though for doing your own thing, a published setting that really feels 'yours' rather than a corporate product.