I have been playing in the Forgotten Realms since 1st edition Advanced Dungeons and Dragons. I\'ve also played in thier Dark Sun campaign.
Campaign settings can be a blessing for the time-crunched DM, and can serve to set your imagination off. That said, they can be a curse if your players try to abuse them.
Campaign settings give you a wealth of maps, place names, societies, NPCs, and often new magic items, spells, classes, etc. This can save you a lot of time by making it so you don\'t have to invent every wheel, but allows you to focus on your player\'s characters and the adventures you place them in.
Trouble is, sometimes the players can read up on the setting more than you because you\'re busy writing adventures and they are waiting...
Just remember, even though it is a published setting doesn\'t make it any less your world. If the book says that the city of Hillsfar only allows Humans in the front gate, and you want a Gnomish wizard to have a shop there, expect the more perceptive players to question it, but have a reasonable answer ready.
No one like to hear at the last moment that \"it\'s not like it says in the book here, I forgot to tell you\". Remember that their characters live there and would already know. If you deviate heavily, be sure to summarize your changes so the PCs know how to act.
And all the pre-generated settings have plenty of \"open space\" on the maps for you to add in your own scratch-built areas, from villages to cities, ruins and dungeons.
I highly reccomend the Forgotten Realms. It gives you a world to play with, but doesn\'t really cramp your style. And though I\'ve never played it, I hear that Privateer Press\' Iron Kingdoms setting is really good....