Here's my short list and why I think they're awesome.
1. World of Greyhawk.
This world has scope, it has depth and its dripping with plot hooks.
2. Village of Hommlet
The book that really showed me how to "start small" with world design.
3. Thieves' World (Chaosium)
This sourcebook for converting Thieves' World to a score of Fantasy RPGs is just amazing. The best urban fantasy sourcebook of all time by a wide margin.
4. Dawn of the Emperors
Really, I could have picked any of these Gazetteers because I think they all are worthy of a long campaign. But I picked this one because it was first and because it was written by gaming god (just don't call him a Champions guru) Aaron Allston.
These were close-up books focusing on an area of the Known World, the official world of Basic D&D.
If that sounds familiar to you, its because I took this model as an inspiration for the way I'm organizing my World of Arkara setting, with the next book being the first of my close-up gazetteers of Arkara.
Yes, the adventures were railroady as hell. Yes, the novels are really bad.
However, they are railroady adventures and bad novels set in an amazing fantasy world that showed me its ok for your world to have its own rules.