In most roleplaying settings there is something I call here fantastic: Something the players are not familiar with.
Lovecraft mythos, sword and sorcery, horror in general, LotFP’s products (this post of mister Raggi inspired my post), stories where characters discover that they (and nearly only they) have some strange powers, Stalker and Praedor.
Most of the setting is normal, non-fantastic, and typically draws heavily from the real world (present state, history, or low-key scifi). There fantastic is something that breaks the normal setting – it works with completely different principles, if any.
Glorantha, Zelazy’s Amber, Nobilis, Carcosa, Tékumel.
These settings are fundamentally different from our reality. They work by different principles, and what is exotic and fantastic to us might be common and usual for residents of these worlds, and vice versa.
A setting where the fantastic is assumed can be explored to find out how it works, and supposing the setting has sufficiently interesting premises, this can be good play. A roleplaying game is a good medium for such an exploration because it allows many people to contribute and further allows several issues to be explored.
Settings with fantastic principles can also make certain dramatic issues very explicit and easy to treat via gaming. Sibling rivalry and broken families are good subjects behind any game set in Zelazny’s Amber where the amberites are played, as almost everything that happens can be traced back to some family member (at least by the first five books). This is also the justification for fantasy and science fiction as vessels of serious literature.
Settings where the fantastic is something exceptional are usually easy to understand (of equal difficulty to relevant setting minus the fantastic, assuming the fantastic is not the player characters, in which case there is more complexity). Unnatural makes sense as a concept. The fantastic creates interesting situations (in both senses mentioned above).
For short I would recommend a setting that is not entirely fantastic, simply to make learning it not a problem. A setting common to everyone would of course work, too.
The third way
There are also so-called fantasy settings where the assumptions are like those of the real world and yet where there is little uncanny even to the residents of the setting. This is the vanilla fantasy setting, which to me has no value – fantasy without the fantastic has no reason, no justification, and provides no interest. I’d love to hear from anyone who disagrees, since I almost certainly am missing something.