AD&D Second Edition was best known for its plethora of published worlds. We're talking about Birthright, Dark Sun, Dragonlance, The Forgotten Realms (including Al-Qadim, The Horde, Kara-Tur, and Maztica), Greyhawk, the short-lived Jakandor, Mystara (including Hollow World), Planescape, Ravenloft, Spelljammer, and the mini-setting Thunder Rift. (Is that it? Did I get them all?)
You had lots options to choose from. I myself invested in Greyhawk, Ravenloft, and Planescape. I did play some Dark Sun, loved it, but never bought it. I picked up the Forgotten Realms boxed set to see what it was all about, let it sit on my shelf for couple years or so, then sold it.
Looking back, I realize how overwhelming it all was. I'm glad I stuck with Greyhawk, because TSR stopped churning out stuff for it, and the material WotC later published for it was basically a rehash of earlier material--I didn't feel the need to read up on anything new as a GM.
Even so, I only use a fraction of the material I owned. There was no way to use it all--and I've run three complete campaigns (one that lasted almost 11 years) in Greyhawk. All three included quick jaunts into Planescape and Ravenloft.
My biggest turn-off to the Forgotten Realms is that back in the day the material was so damn prevelant. I can't blame TSR--FR became the most popular D&D setting. But on top of that, it seemed there existed this unspoken assumption that you, as FR player, were supposed to keep up with everything.
Heaven forbid that a beginning DM fall into this trap, and feel the need to use it all. And them WotC comes along every few years to screw around with "official material" with yet another upheaval. (Dragonlance used to be #1 victim of this, but I'll put the Forgotten Realms in the pole position since GenCon 2012's announcement of "The Sundering!"--gah! get Ed Greenwood's voice out of my head.)
Sure, if you like collecting all of those books, fine. Different strokes for different folks and all that.
But I think the best campaign setting is one a DM creates for himself and his players. Even moreso, especially for a new DM, is to start the campaign small, beginning with the classic "village with a dungeon nearby" scenario.