The favorite ones, for movies or other tales, novels, videogames, etc. Some love jungles some love wastelands, some love urban settings, or deep space, some love to recognise their own familiar places, bollywood loves green swiss mountains.

I'm partial to :

- Confinment, isolation. For movies/books more than for games, actually. I love a bunch of people being severed from the world, a limited cast of characters, dealing with a claustrophobic setting and possibly paranoia. This is more a setting structure than a setting itself, as it's compatible with many locations (as varied as "the beast of war", "and then there were none", "rec", "eye of the needle", Bilal's "bunker palace hotel", Sartre's "no exit"). And in particular :

- Seas. I love seas. They are very hard to film (because sea colours and texture change too often to allow for easy editing), easier to write about. But if a story takes place at sea, above or under, I'm sold. If a vehicule sails, I find its shape magnificent. I love ship and submarine similators, pirate games, and, of course, all sorts of sea-based movies, from "das boot" to "dead calm", from "master and commander" to "pirates", from... from "waterworld" to "the love boat", and I am almost not exaggerating.

- Snow, cold. Also happens to make great claustrophobic settings. "Shining", "ice station zebra", "ravenous", "jeremiah johnson", "the thing", "20 days of night"... But even as a mere general background, like in "where eagles dare", "dance of the vampires", "il grande silenzio", "a king without distraction", "atanarjuat", "the eiger sanction"... There is something both oppressing and somehow "muffling" in snow, that does more than merely isolate. Plus, things are paradoxally oppressive yet open (uncrossable deserts do that too, but lethal cold is more direct). And the whiteness of snow allows for nice contrast with visual of thematic or vsual violence. Something in its calm too, although sometimes snow is the most brutal enemy itself ("north face").

Anyway, the question is :

What "The story takes place in..." have you immediately, unconditionnaly, sold. In books, fims, games, etc.

Fragmented reality (as seen in: A Valley Without Wind).
Floating islands.
Artificial worlds.
"War of ideas" (as seen in: Immortal Defense, Planescape: Torment, Alpha Centauri).
Trains, airships, armored trains (Transarctica), battle airships. No steampunk: if there are Victorian dresses, the tech better look realistic (Arcanum); if the tech is fantastic, the society needs to be straight up futuristic, up to and including just being robots (Primordia).
Key word: "particle physics" (Resonance). Not "nuclear physics" - really, screw fission.
Key word: "ushanka".

Edit: since someone brought up Dark Heart of Uukrul in another thread: any setting that implements the "points of light" mechanic in a logical way. So, undead apocalypse (Darkest Night, a boardgame by the awesome Jeremy Lennert) is great, 4e's default setting that is literally called "points of light" isn't. (Exception: modern zombies, I'm kinda burned out on them.)

Negative key words would be "European fantasy", "Middle Ages" and "authenticity".

Deserts. Limitless acres of scorched Earth, sparsely dotted with indigenous animal life and unique vegetation (along with stone temples, ruins or pyramids) have me sold immediately. Some of my favorites include: Journey (PS3), Californian wastes of Fallout, the temples and encampments of the Indiana Jones films, the hunting scenes of No Country for Old Men, the efforts of Masanobu Fukuoka and books on desert warfare (particularly Rommel's Afrika Korps). Even the scant mentions of The Last Desert in TheHobbit pique my interest.

Alternative history! I wasn't too fond of that when i was younger, because it didn't feel original enough, seemed lazy even. That is, until i saw the movie adaptation of Robert Harris' "Fatherland" and later read the original work. Man, was i sold. I've recently bought another one, Korona Sniegu i Krwi [Crown of Snow and Blood] by E. Cherezinska, taking place during the feudal fragmentation of Poland, with some fantasy elements thrown in, and it's pretty good. Alternative history can be really interesting when done right, though it can also lead to some pretty boring and trivial stuff [like Red Alert].

edit:
but is 'alternative history' a setting?:P