I absolutely love the skirmish wargame Mordheim. It's one of the most inventive games that Games Workshop has put out. One of it's biggest weaknesses is the setting. I'm not overly fond of the Warhammer Fantasy world, it just doesn't work for me. There are way too many people worshiping Chaos and becoming mutants, and everyone has oversized weapons and armor. But the rules themselves are pretty good.
I'd like to run a game in a more D&D setting and I think I might use Highport in Greyhawk based on the A series modules. I think it would be perfect, a once great city overrun with orcs, goblins, gnolls, hobgoblins, etc. And the adventurers must explore the depths of the ruins to extract the hostages and recover lost treasure. I think it would be a great game with very little conversion, I just need to start making scenery and amassing models. I suppose I could make up my own setting as well, it would be fun either way.
If anyone has any better setting ideas in Greyhawk, Mystara or Faerun I'm all ears.