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. 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. KempThe Sundering is a world spanning event that creates ripples all across the Realms. The books in the series are connected in that they take place against that backdrop, showing different aspects of it. The stories, however, are not sequels or intertwined, though there are some Easter Eggs across books.
Paul S. Kemp