I like a variety of settings, though not too far back in time.
The 1920s-1930s era of the great depression is a favorite of mine, as I like to write stories/RPs about runaways and drifters, pick-pockets and con-men, trying to get by in hard times. And I like to imagine the limits of technology at the time; what things would cost, many small details.
The present is also a favorite, or a time just slightly before the present, as in the 1980s-1990s, just prior to the era of widespread cell-phones, internet and such...and the 'dark ages' of the Reagan era, and the amazing punk/HC scene that came about at the time, almost as if in reaction.
Sometimes, I'll jump ahead to the future, if it's going to involve transformation, latex, stuff like that; hard to picture some of these things in the middle ages!
So those are my top 3.
The 1920s-1930s era can also have a touch of sci-fi, which is called "dieselpunk". Captain America: The First Avenger and Sky Captain and the World of Tomorrow are good examples. To me, there's three types of modern settings, regular modern (present day), semi-futuristic modern (around a decade or so in the future), and retro modern (what you just mentiond).
I wouldn't mind a supernatural option, but as of those options above I prefer Fantasy and modern. Because reasons.
Any setting can have supernatural elements really. I'd also have post-apocalyptic and prehistoric as options if I could be able to have a few more of them. For the ancient option, it can range from the bronze age to classical antiquity. I find the ancient Egyptian setting quite appealing, especially for furry characters.