I think that most players start a new RPG using the default setting for the game while they learn the rules and such. I expect that they usually move on after that initial period and create their own setting, unless the system is too tied to the setting to easily separate them. I also expect that most of the time the new setting is pretty similar to the default setting, since that's the model they're building from. I know this has been my experience with RPGs. When I first started playing D&D I had the adventure in the back of the Holmes basic book and B2 to work with and it never occurred to me that I would need more world until I bought the D&D Expert set and got X1.
The Expert set and X1 opened up an entire world to me. I had never considered creating an entire game world to play in at that point and the bulk of my gaming, either as a DM or a player, had been pretty much of the "and after several days (or weeks or months) of traveling you see the dungeon entrance before you" variety. I remember the pain of groping my way towards running non-dungeon based adventures or even having them searching for locations, it was brutal, it did not come easily or natural to me. Oddly enough, now most all of my home-brewed adventures are overland types or seaborne.
When I started making my own Garnia campaign world, I consciously and unconsciously aped both the Known World from the Expert set and Greyhawk, which I had recently read and considered to be the standard by which all D&D campaign worlds should be judged. Since I started creating Garnia I have only occasionally DMed outside of my baby. The exceptions to Garnia, however, are what I wanted to talk about now.
The biggest exceptions, of course, have been using published worlds. I have run brief campaigns in both the Known World, which I refuse to call Mystara, and in the World of Greyhawk. When I started running Oriental Adventures I used the default Kara-Tur setting, and I usually revisited it when I ran later OA games. Aside from that I have run games set on earth in various historical eras, mostly in and around Europe. I have created two different Roman themed fantasy worlds, one of which was retconned in to Garnia eventually as another continent. I created a Japanese themed fantasy world that also got retconned into Garnia as an island chain off of the coast, slightly off map. I created a Norse themed world that I also added to Garnia, off map. Discounting the cultural flavor of each of those and, of course, Celtic themed Garnia; all of them are essentially the same multiracial fantasy that has been D&D standard since day one.
I have created exactly two decently non-standard D&D worlds. One was uniquely Anglo-Saxon in theme and kept pretty close to the source. I ran that for a few sessions, one on one, with my wife Mona back when we first moved in together. As the campaign wore on, I started using more standard D&D-isms and ultimately decided to prematurely end the campaign before I ruined it with a lack of preparation. I was in college at the time and that was my Anglo-Saxon semester. I had a bunch of classes that covered early medieval England, from literature to history to art. I created and ran the entire thing pretty much on the fly, I was just so steeped in the period and the people it was easy. I don't think I could ever do it again. I tried rebooting the setting for a group a few years later and it was less successful and devolved pretty rapidly into standard D&D with Anglo-Saxon names.
The other campaign setting was based on Jacobite era Scotland. There was a fermentation of ideas I got from the movie "Rob Roy" and the novel "Caledon of the Mists", I thought I could bring it together using my considerable knowledge of the period and Scottish history. I was wrong, I jumped in too quickly. My gaming crew and I had just watched "Rob Roy" on DVD, and I said I could DM a game in a fantasy-historical setting. They made characters and we started. I quickly realized I had no real adventures for them, but they seemed content to roam around the countryside and be all rebellious and such. When the game ended that night everyone was enthused about it, but we never played there again. Mea culpa.
Strangely, that not-Scotland of the early 18th century still appeals to me. While I have been sitting here for the last few weeks with my games called on account of snow, which in Mexico NY means A LOT of snow, I have been all gamer ADD about my D&D campaign. I hate to end a campaign, but these thoughts enter my head and I want to play there. I have been giving serious thought to revisiting this Scottish Gaelic Jacobite rebellion influenced setting.
This is partly due to the fact that I have been thinking more and more about a humans only world, like most of the stuff from Appendix N. Conan the barbarian never had elves and dwarves in his party. A human only game world, right out of the gate, makes any encounter with non-humans special and kind of creepy. Kind of Lovecraftian. I kind of want that.
For a more "standard" medieval D&D world I have been thinking of an entirely new setting I am calling "In the Ruins of the Shattered Empire". I see it as kind of like this- Imagine a world where the Mongol empire conquered all of Europe, resistance was stiff, so they stomped it flat; then the Great Khan died and numerous claimants fought a century or so of brutal civil wars which pretty much destroyed everything their empire had going for it. Add magic. You are there.
I am still working on it, and I have a few other bits I am considering, but the humans only thing is definitely a go.