Annwn from the Deverry Cycle by Katharine Kerr.Most of this series takes place in Annwn, which is a world to which the Gaul tribe of the Deveti flee from our own world in the time of the Romans. The story is set over the next 1200 years as society, technology and politics change over time, and the meeting of the immigrating humans and the peoples that already live in that world.
Apart from the interesting interactions between humans and other races, the Deverry Cycle also has well-developed magic system akin to that of the Kabbalah or Golden Dawn, as well as a clear idea how other planes connect to the physical one. Though you can notice some changes in the world-building over time, it's a well-constructed and researched world that I wouldn't mind seeing more of (especially with the technological developments hinted at at times).
Alternate Earth of 1837 (Gregorian Calendar) from Cold Magic by Kate Elliott.The world of Cold Magic is our own. Except, you know, for the magic, the cold, the salt ghouls who took over Africa, the Malinese who immigrated with all their wealth and changed the political balance in Europe, the surviving Roman Empire, the glacier that covers Scandinavia and the rest of the north and the dinosaur-descended trolls who live in North America. Cold Magic has a great world, in my mind, that changes some fundamentals and drives those fundamentals to large-scale change millennia later. Another thing that really gets me excited is that it's a world that's on the brink of mass movement politics and the industrial revolution, and a Napoleon-like character making waves.
Apart from the physical, the spirit realm is well-represented and so far, Elliott seems to have a firm grasp of where she wants to take it.
Terra GirlGenius (or whatever) from Girl Genius by Phil and Kaja Foglio.The world in Girl Genius is in the genre of gaslamp fantasy (earlier steampunk) but with the essential ingredient of MAD SCIENCE! to spice it up a bit. Britannia has a sunken empire with a power-mad queen,, no one has managed to travel to America and back for years, small-time sparks go insane and create various abominations to gods and nature, warrior princesses from hidden nations roam the countryside in traveling circuses, and Pax Wulfenbach keeps Europa relatively calm. That's the world we're thrown into and gets to see through the eyes of Agatha Heterodyne, heir of long-lost heroes. Unlike the first two worlds, the world of Girl Genius is not particularly famed for logical consistency, opting instead for BATSHIT INSANE, and it is completely wonderful.
At the moment, they are about to wake a long slumbering insane castle to protect themselves from the giant airship that is Castle Wulfenbach. Also dragons and mind-controlling aunts. Though I live just about everything about the world, the series keeps offering up mysteries to which I want answers which makes the world even better. And I can't wait for the battle that will ensue between Zeetha, warrior princess, and Bang, pirate queen.
The Universe of Warhammer 40k by Games Workshop.The universe in Warhammer 40k is crazy. The setting is Gothic science-fantasy on a galactic scale, and it features a theo-fascist Imperium of Mankind, who can be seen as the "good guys" of the setting, except for sacrificing 10 000 people to their undead emperor a day, preferring to wipe out the population of a whole planet rather than accept the risk of heresy, who keep scientific advancement suppressed and in the hands of techno-priests, and other general insanity. Of course, when your enemies are the forces of Chaos who can take over people's minds and invade worlds with demons, fungus-based orks who pillage worlds for fun, undead mechanical beings, an alien insect-like species that live only for feeding, and the other unpleasantries of that universe, maybe that approach makes sense (not really). In truth, I probably just like it for the insane quotes the franchise produces.
"An open mind is like a fortress with its gates unbarred and unguarded."
Arda by JRR Tolkien.One of the most successful fictional worlds ever. Though I have my problems with the books Tolkien produced, I can still lose several hours reading wikis and other sources about Middle-earth, the history of the elves, the curse of Fëanor, and everything else Tolkien wove into a great mythological whole.
The World of The Curse of Chalion by Lois McMaster Bujold.Though the sci-fi universe she created with the Dendarii (Miles Vorkosigan/Naismith) series is more popular, and though I like that a lot as well, Lois McMaster Bujold really got me with the world in Curse of Chalion, though mostly because of the theology. The three books in the series highlight heroes that grapple with great problems and the questionable blessing of sainthood, with the gods of that world trying to reach into the world through them to bring about their wanted end. Though not particularly well-developed, getting to see her world through the eyes of her ever-cynical protagonists makes it a joy to experience, and the five gods of Mother, Father, Son, Daughter, and Bastard make for an interesting group and theological setting.
There are plenty of other worlds I have enjoyed over the years, and series like Babylon 5, Mass Effect, The Fourlands by Steph Swainston (who takes the fantastic to the next level with gardens of meat!), The Hundred Thousand Kingdoms by N.K. Jemisin, the large, sprawling mess of Robert Jordan's Wheel of Time, and the interesting magic system and depressing world of Mistborn by Brandon Sanderson, but on the whole the worlds above ar the ones I've spent the most time thinking about, at least recently.