There isn't a single D&D setting that I honestly dislike (though Dragonlance grates on me at times), but if I had to play favorites, Ravenloft would be near the top of my list. The setting was never hugely popular - it was a product of the bad old days when TSR, Inc. would throw out a new campaign setting whenever their sales were slumping and hope to Pelor that it would stick. Rather than being a generic fantasy setting, though, Ravenloft mixed heroic fantasy with gothic horror. Elves and dwarves, wizards and warriors did battle with vampires, restless spirits, and evil geniuses, and a happy ending wasn't always assured.
The setting had its origin in the classic 1980s adventure Ravenloft and its sequel, The House on Gryphon Hill, written by Tracy Hickman, one of the creators of Dragonlance. These adventures gave us the tortured vampire Count Strahd von Zarovich, Lord of Castle Ravenloft, who went on to become the campaign setting's central villain and one of the most popular recurring villains in D&D's history. The original adventure Ravenloft has been reprinted no less than three times for three different editions of the game, and I've no doubt that a version of the adventure for the new 4th Edition will pop up down somewhere the line.
Strahd by *nJoo on deviantART
Ravenloft had something that most other RPG settings lack: atmosphere. An impending sense of doom hung over the very land, and the sinister mists constantly threatened to whisk you away to some new unspeakable horror.
If I had the ambition to do so, I'd love to run or otherwise participate in a Ravenloft campaign. If you're into D&D or tabletop RPGs in general, I can't recommend Ravenloft enough.