I think modern is the most versatile.
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.