I started playing in Garweeze world. It was the only setting I was allowed to use for my game since all of our characters had to align with the HMA's tournament rules. I heard of sessions played in Kalamar or the Forgotten Realms, but was given the impression that was the wrong way to play.
Once I thought I'd create a location of my own. I made the mistake of sharing this and was told, "Why? It isn't needed. We have Garweeze Wurld."
I thought settings were as nonnegotiable as combat rules. Then HM5 came along and suddenly the new world was Tellene. And I learned that Aldrazar was Jolly's and Tellene belonged to the D-Team. No one ever stopped them from creating a world. It made it suddenly okay. Yes, we played on Aldrazar to make sure all the tournament characters came from the same home, but at my table, I had choices.
I still don't know if I will ever try to make a game world, but HM5 taught me I can. ;)