I made a thread about this recently, more to find what kind of settings people enjoyed. Predictably, there was no clear preference at all because different people like different things.
I think the general agreement was that, if you have a really good story, it doesn’t matter where the game is set, people will play it anyway. (Which is apparent since according to the poll, not many people like Westerns, yet Tin Star is regarded by many as being one of the best games the site has to offer.) 