Probably an obvious answer from me but truthfully I don't read a lot of literature and such so I don't really have that many options to choose from -
I gush about Westeros a lot because the history and lore is so incredibly intricate, but I know a lot of other fictional worlds are as well - Middle Earth, like gp said, is also known for being one of the most fleshed out fictional places out there, I'm just not as familiar with it as I am Westeros. I mean, there's thousands of years of history written about the place (and Essos across the Narrow Sea), hundreds of families, most with their own detailed histories as well, detailed maps with a name and story behind every forest and small town between the kingdoms - it's just mindblowing to think how much time it takes to develop a world like this.
I guess I've just always liked the medieval-ish setting - another world (continent) I spent a lot of time reading about is Tamriel of the Elder Scrolls - the cool thing about video games is you can really walk around and experience the place yourself, but what's remarkable about Elder Scrolls games is that it doesn't just establish enough of the world for you to traipse around and kill Skeevers in - there are literally hundreds of books and tomes you can find throughout the game, so if you actually care to learn more about the lore and history (and I did) you can.. um.. read books in a video game and actually learn about the lands and people that inhabit it. :P None of this is necessary for you to play the game or understand the current plot, but it's just really cool to see them insert all this additional info so you can really immerse yourself and understand these people better if you choose to. And again, it's another really well developed world just packed with history and believable interactions between the races that inhabit it (ie. what started certain conflicts, reasons behind animosity between races and wars, myths and folklore among groups, religions and deities, etc).
Since starting/attempting worldbuilding myself, and as I've tried to pull inspiration from these worlds, I've gained a much deeper appreciation for what these authors and writers have done - even a very small world takes so much time and dedication to develop into something cohesive and interesting, so any world capable of pulling me in and making me want to learn more about it is a great world, imo.