This is both easy and hard for me because I've got two.
First up is my long time favorite, the world where the Heralds of Valdemar exist, created by Mercedes Lackey. Velgarth. Inside it is Valdemar and Valdemar is a beautiful city governed by a King or Queen fairly. It's one of those places where you want to live, where magic happens and you'll grow. Oh how you'll grow. I dream about being a Herald, which is hilarious because I hate horses... Not that you could call a Companion a Horse but the idea is still sound. Truth, justice, and magic.
I've met some amazing characters in the city of Haven and outside of Haven and outside of Valdemar there's unforgiving Karse, Jkatha where the Shin'a'in roam, and many many other places. I've met Gryphons and Companions (horse shaped spirit creatures), and the plains dwelling kyree (a strange big cat/wolf that is very very smart). I saw people die horrible deaths, deaths that years and years later still haunts me. I find myself wanting to go to Valdemar and riding the streets. I want to train under Weapons Master Alberich and ride alongside Queen Selenay. I want to visit the forest and the Hawkbrothers.
Velgarth was the first fantasy world that felt like home to me.
Now onwards to my other favorite! Discworld.
Right now Discworld is reigning supreme for me but that's only because I read it constantly. Like over and over and over again. Terry Pratchett is a master, he really is. How can I describe Discworld though?
For starters, it's a flat world carried on the backs of four elephants carried on the back of one giant turtle as it flies through space.
The best part about Discworld isn't the world though, it's the characters and how they interact with this world they are given. You've got places like Ankh Morpork, it's a large bustling city with a 'Patrician' (One man, one vote. His Vote.) who rules the city and watches over it. No Kings in Ankh Morpork (Not on Sam Vime's watch anyway)! It's a dirty horrible city that is sectioned off into several logical bits, the good, the bad, and the really bad. The river is so dirty and polluted you can walk across it and you won't sink, you'd just bounce a bit. There's Gargoyles and they talk. Well, they sorta talk. They've got drain pipes in their mouths so they don't do it well. You've got the Dwarves who've come to the city to make money to send back home. You've got great rocky trolls in the city trying to make a fresh start where it's illegal for Dwarves to try and kill them to get their diamond teeth out.
You've got racism, classism, sexism, and ableism and people who are trying to over come it. You've got the crazy fat wizards at the Unseen University who are mostly ignored because that's the safest way to deal with a wizard and then you've got the Witches out in the rural areas doing everything that needs doing.
You've got all these countries on this 'disc' and most of them are at war with one another. You've got the gods high on the middle of the disc who subsist on the belief of their worshipers. On the disc, gods are a dime a dozen.
Oh. There's also werewolves with flea problems, vampires who wear pink grandma cardigans, and zombies seeking equal rights for their fellow undead.
You see the birth and death of 'music with rocks in it' and moving pictures at 'Holy Wood' and the most important thing is that you see PEOPLE. People who feel, despite their species, almost real. People who you can look up at or laugh wildly at (and accidentally set off the glass break alarm while doing so!) and cry for.
... And I have said too much.