For more than a year now I've been running a Pathfinder roleplaying game campaign at my local game shop. The players seem to enjoy it, and so do I. Though I use the Pathfinder rules pretty much as published, one thing I do not use is the "official" Paizo Publishing game world, Golarion.
I don't have any real beef with Golarion; it's yet another fantasy roleplaying game world, with a kinda-sorta Europeanish part, a vaguely Middle Eastern area, some Asiany places, some jungly places — basically all the entries in Diana Wynn Jones's Tough Guide to Fantasyland.
(Revealing note: I wrote the above paragraph with essentially no knowledge of the Golarion setting other than what I may have glimpsed in advertisements, and my familiarity with the tropes and cliches of roleplaying games. Feeling a pang of conscience, I went to Google and found my way to the Pathfinder Wiki, just to make sure I wasn't mis-representing the setting. Nope, I pretty much nailed it.)
I don't use Golarion because I've found a much better campaign world, one with fantastic landscapes, thousands of distinctive cultures, fascinating ancient civilizations, and awesome natural wonders. Best of all, this campaign setting is completely free and open-source, with millions of maps and reference works describing locations, mythologies, and groups in intricate detail.
It's called "Earth."
Now, admittedly, my version of Earth in the game has elves and dwarves and all the other boilerplate "playable races" from the Pathfinder rulebook, and of course it has magic and bizarre monsters, but the map is the same, and the peoples and cultures are mostly the same. I did make the executive decision to delete the Abrahamic religions because I don't want to step on anyone's toes, theologically. And I put Elves in control of Britain and France — but that just gives me pointy-eared pirates with West Country accents and swashbuckling sorcerous King's Archers, so that's good.
Why use a fantastical Earth rather than a made-up world? Two reasons: laziness and obsessive attention to detail.
Laziness means I can let Google Maps, the CIA Factbook, and Wikipedia do my world-building for me. Look up a place, look up who lived there around 1600 (the approximate date of the campaign), look up what religion they followed before converting to Christianity or Islam (if they ever did), maybe check one of those "Ten Things to See In X Place" travel articles for some local color or ideas, and voila! Prep work is done. I don't have to spend time reading up on the imaginary history of a game setting, because I've already spent forty-five years reading up on the history of the Earth.
Obsessive attention to detail means I don't have to think about questions like "Why does this fantasy setting in an alternate universe have humans in it?" or "Why do they have made-up gods but use real names of demons and monsters from Terrestrial folklore?" or "Why do these made-up cultures look so much like historical ones except for some annoying concessions to 21st-century sensibilities?"
See, I actually think about things like that, and they bug me. (I guess I side with Tolkein rather than Lewis in that respect.) I want my imaginary game world to hold together, which means I want to know why their human cultures and races manage to fall into patterns from Earth's history, despite radically different geography and history. (Steve Jackson came up with a clever justification in his "Banestorm" setting for GURPS: the humans of his fantasy setting actually are snatched magically from different places and times in Earth's history.)
Now, I don't want to tell anyone they're Doing It Wrong to use published settings. And I certainly don't want to discourage people from buying the products of hard-working game designers. But I do want to encourage gamers to learn about the real world, even if they prefer published settings. If you know more about, say, real Islamic history, it will definitely improve your understanding of the kinda-Middle Easterny places in your setting sourcebooks. The more you keep inside your head, the less often you'll have to stop to look things up.
Incidentally, if you want to compare my ability to create an imaginary setting with the way I depict a real place, check out the two stories in my new ebook!