I enjoy most flavours of fantasy and sci-fi for different reasons, but the settings where “it’s complicated” tend to be the most fascinating to study. One thing I especially like about these settings is that wars usually don’t have to be apocalyptic. There can be smaller, more limited, localised, twisty-turny conflicts which are full of subtleties and will eventually end by diplomacy or other political means. In a way, that’s reassuring.
One of my favourite sci-fi settings is Heavy Gear. I really appreciate the way each of the political entities on Terra Nova is a complex society with both pros and cons. Ultimately I could envision myself as a citizen of any one of the seven Polar leagues or two major Badlands pseudo-leagues (civil wars notwithstanding, and I’d probably be happier in some leagues than others due to my own position on the political spectrum), even though they regularly butt heads with each other. Of course, the Heavy Gear setting also has the Earthers, who are brutal fascists intent on reconquering the colonies and exploiting them mercilessly for the exclusive benefit of Earth and its lapdog Mars. But even with them there is some hope thanks to a fifth-columnist movement and some hints that the problems on Earth which have enabled such a brutal government (overpopulation, a failing ecosystem, the aftermath of WMDs, etc) might be solved through a combination of scientific progress and a concerted humanitarian effort by the colonies (assuming of course that the Earth government will surrender or implode, first).
For similar reasons, I really like the Jovian Chronicles setting.