Shared world has done some world building and brings (in the case of FR and SW) a big audience. With your own work, you're more creatively free. In a way, the shared world stuff has a high floor but a ceiling.
Paul S. KempFantasy allows for less rigorous worldbuilding and more vigorous exploration of moral questions. Sci-fi is opp.
Paul S. KempThe Forgotten Realms is arguable the most detailed, intricate fantasy setting ever created this side of Middle Earth. It's a setting for many D&D game products and lots of fiction. It is vast, historically and geographically and so contains just about anything you might imagine, at one place or time or another. Created by Ed Greenwood. And, for the record, Ed Greenwood is one of the smartest guys I've ever met.
Paul S. Kemp