It's interesting that no-one has mentioned my favourite way to start a campaign: find some period in history that piques your interest, and run with it. I've never given a hoot about what happens to the fabled Kingdom of Gaga, but Japan, India, the Roman Empire? Now you're talking.
If you want to take a look at settings that have a created world, I can't recommend Midnight from Fantasy Flight Games enough. It's a gritty, low-down campaign of fighting the ultimate evil. Well thought-out, classic Tolkeinesque fantasy with a twist of horror. I love it, and I don't even like Tolkein Scarier than Ravenloft, way more fun than Forgotten Realms.
Some people love the 7th Sea world, Theah. I loathe it, for the reasons mentioned in paragraph 1. Why make a fantasy 16th-century pseudo-Europe that makes no sense politically, religiously, or geographically, when you could make a fantasy 16th-century Europe, with all the coolness that implies?
I picked up Victoriana, since it was Fuzion based, but was greatly disappointed.
Far better was the Septentrionalis campaign, which was a fantasy 17th-century D&D campaign in the Americas. No longer available on the web, but I still have all the PDFs if anyone is interested.