Over the past couple years, I've played (or at least read) several games with varying levels of setting detail. Games like Planescape, L5R, and Mutants & Masterminds are chock full of detail that the players and GM can devour. Games like Burning Wheel and Wild Talents...not so much. With these latter games, I've generally created the setting during the first session (or over email) with the other players in the group. So the natural question is: Which way is better?
The games with robust settings have a lot going for them. They significantly decrease the work load for the GM, which from experience, can be a huge boon to maintaining an ongoing game. Given that a lot of players have tendencies toward the bad-ass Wolverine type player (brooding loner), settings give every player something shared, especially if they are encouraged to dive into the setting at the onset of the game and connect their characters to it in some way. Some players also love reading through the setting and figuring out where their characters fit in it. One of my fellow players loves the Mutants & Masterminds setting and gets jazzed whenever a familiar but unused face shows up. Also, robust settings can really help explain the tone of a game with an unfamiliar world, like Dark Heresy or L5R, to players.
But these types of huge settings can sometimes lead to problems. Even if warned that the GM has license to pick and choose, players can get upset when the setting isn't precisely translated in game. When I GM, I often feel that a well described setting is more constraining than enabling. I like the ability to flesh out the setting as the story demands - in a Wild Talents game I'm GMing right now, I've changed various setting elements on the fly that seemed hardwired in to me when each session started (like the underlying physics of the universe after our resident scientist, Dr. Epistemic, investigated the origin of a rift in space). And I think that players have more buy in from the outset if they've actually had a hand in creating the setting themselves.
In the end, I favor less setting rather than more. But as with all things rpg-related, it all seems to come back to the makeup of each group. Go with what your group needs to give you the best possible game.