This one’s easy: Planescape. Everything about Planescape is awesome: the art, the writing, the graphic design, the monsters, the NPCs, the art… All different components of the setting were cool, and amplified each other’s coolness. A demon is pretty cool in itself, but a demon drawn by DiTerlizzi talking the chant and selling you spell-keys is a whole other thing.
I saw the original boxed set on my monthly trip to the gaming store and bought it immediately. Even then I was bored with the usual dwarves and elves and dragons, and Planescape’s weirdness was a breath of fresh air. It reinvigorated D&D for me.
The Planescape campaign I ran consisted mostly of small adventures from Well of Worlds, with freeform role-playing in the city of Sigil between. I also ran The Eternal Boundary and some chapters from The Great Modron March. I also like Harbinger House and Something Wild, but I never got around to play them. A large part of In the Abyss is basically a hexcrawl in the Abyss. It’s pretty awesome.
I think towards the end of the product line, the quality of supplements and adventures dropped a little. A Guide to the Ethereal Plane and The Inner Planes are well-done, but they just don’t do it for me. The later adventures were all “Epic Mega-Adventures”, which I don’t like because they don’t leave much room for the DM to form his own campaign: The Great Modron March, Dead Gods, Hellbound: The Blood War, Tales from the Infinite Staircase, and Faction War all have some nice ideas, but when run take over the campaign entirely.
When it came out, the tagline for the campaign setting was “Fantasy taken over the edge” and for a while that was what it did. It took fantasy to places where it hadn’t gone before. However, a funny thing happened in the years following its release: the edges shifted. Things like Githyanki and tieflings started to pop up in other D&D campaigns, and the style of D&D fantasy changed. Now, tieflings are in the Player Handbook (even if they are nothing like Planescape tieflings).
Runners up: Spelljammer, Al-Qadim, Time of the Dragon (but not the rest of Dragonlance. Just Taladas).