It all depends on the nature of the story and what it's trying to achieve. If I'm focusing simply on the setting though, I love to see science fiction settings when they are innovative or unique in some way. Also you probably should've added "post-apocalyptic" to that poll, seeing as it's rather popular.
To be more accurate, a reasonable facsimile of the real world, like where my character lives. Rather than living in some cliched fantasy world, my fursona lives in Furry America- a black wolf from Philadelphia, PA who enjoys basketball, soul music, and various other things that I wouldn't be able to enjoy any other way.
I don't know if anyone has just put their character in a Furry version of the real world but that should be a choice on your little poll. Even worlds based on our own modern world, (Kyell Gold's "Forester" universe) fit in.
I like sci-fi. And when it is sci-fi, I like it to be set in the near future. Doing that gives the familiarity of the real world whilst allowing the writer to slip in a couple of futuristic gadgets here and there.
I tend to like sci-fi set in the far distant future (Thousands, millions of years in the future.)
Fantasy and cyberpunk are also pretty cool as well as post-apocalyptic settings.
I'm generally not drawn towards historical fiction, but that doesn't mean I won't like something set in the past.
The setting isn't a huge factor in me liking a story, as long as the book/movie/game/tv show is interesting in other ways.
My favorite is space opera, a mixture of light sci-fi and light fantasy elements. Numerous alien races, FTL travel, bizarre weapon techs, etc.
I also like semi-realistic cyberpunk, examples being the settings Shadowrun and EYE: Divine Cybermancy.
Classic/medieval fantasy is also liked by me... but for the sake of everything that is supernatural, please let it deviate from Tolkien copypasta settings with elves dwarves orcs etc.
Guild Wars does this right, also The Elder Scrolls (more so in the older 3 games), just to name a few popular ones.
While I am also interested in the other choices in fiction too, these 3 stay as my favourites among them, especially spaceopera-scifi.
I really like science fiction and high tech rezzy areas. I think my favorite places would have to be The Grid from Tron Legacy and the last level of DoDonPachi 4 (It's a military base made to look and function like a giant computer motherboard).
Modern-Any kind of story can fit here, whether it's a sci fi story about the invasion of aliens, or an adventure story dealing with ancient, far off places from the bowels of history, or a horror story about ghosts, zombies, serial killers or anything in between. The modern setting works for any story because we're familiar with it, if not necessarily always comfortable with it, so there's an immediate relatibility with the setting. With horror, it works because it makes us believe that these things can hurt us by focusing on the kinds of places people actually live, such as suburbia, and what happens to the people that live there in the story. With an adventure story, ALA Indiana Jones, it focuses largely on places that either do exist, have existed, or are rumored to exist in ancient text and legends across time and culture, so we're familiar with it at least through legends. Another way that adventure stories work great in a modern setting is the common plot point, or theme, of an everyday guy being whisked away from the drudgery of his everyday life by forces beyond his control, and placed into a dangerous, extraordinary, and mind blowing experience, but it works because these stories often start in everyday life, which all of us are familiar with, so there's an immediate identifying factor in that case. With sci-fi, particularly alien invasion stories, it often works much in the same way that horror does. One day, everything is going smoothly, when all of a sudden, some giant nigh unstoppable force descends from the sky with the intent to either kill us, or worse. It's another case of the unknown, and by extension, dangerous, hitting us in places we don't expect, or feel safe in.
In short, while the modern setting may not be the most immediately interesting or memorable of settings, it is the most versatile, and it's all because of one reason. We all have a stake in it.
My favorite kind of setting is science fiction. It is a very versatile and varied genre, that can serve both to examine real world problems and their possible future repercussions or continuations or alternatively to depict peoples and societies far from our current and past experiences, allowing for a great deal of creativity and imagination. The variety of sub-genres (such as Hard, Soft, Cyberpunk, Dystopian, Apocalyptic/Post-Apocalyptic, etc.) certainly show this versatility.