I have run away from an established setting. I have done so because I find reading lots of pages of text about an imaginary setting to be somewhat dull, at times. As Zak S hath wrote: if you write RPGs for a living, the work you put into a novel-like world description is just never going to be your most amazing work. Your most amazing work is wedged somewhere in systems of classes and rulings and tables, in character options and maybe in vignettes of people and places and things. But a fully detailed setting isn't a vignette. It's more of a textbook.
A fully established setting becomes something of a weight. Players expect to see it. They know a bit of what to expect - and I don't mean to get into some missive about the horrors of metagaming, because I'm not terribly worried about it. But unless you're explicit that you're diverging from canon, players may interpret differences as a mistake on your part.
This talk of fully-detailed settings reminds me of Basic Red's Let's Talk About Moon Slave, which in addition to establishing a kick-ass deity, talks about how RPG writers get deities wrong. Rather than a vignette, you get a list of things the God holds in his or her bailiwick. Or you get novelized fictional treatments that become textbooks for the DM to memorize.
I can't hold too much in my head. It doesn't help that every time you damn people in the RPG blogosphere write something down, I feel like I have to use it. I'm already running 5E players through the Plane of Towers. Then I thought, what's tower-shaped that I read about recently? Oh, I know: a Morlock Drill City!! So now the PCs are in a drill city's theater, getting made up and stuck in black theatrical unitards, about to contest both Morlock and the zombies and skeletons that have infested the city. According to a crazed, evil, yet affable (thusly) morlock wizardling, the Plane of Towers is a place in Hell, which of course lies underneath the world. The Morlocks just got a bit side-tracked on their journey to the surface when they accidentally took on a small horde of the undead.
And since the players are in a form of hell or purgatory - the Plane of Towers isn't that bad, after all - maybe they'll drill 'out' / through a portal / into Necrocarcerus. Ultimately I want to ask for some of their input about what they want from an overworld setting, but I like a) lots of people are 'undead' and b) the setting has a freakin time-limit on it.