I like running all kinds of game - from fantasy wilderness exploration to hard SF - but I've come to realise, on balance, that I am an urban GM. My favourite type of game takes place in a city. Moreover, it takes place within one city. Almost all of the things that I want in a game - a web of interpersonal relationships, a feeling of connection between characters and locations, growing familiarity among the players with people and places and themes, memorable recurring NPCs, and so on - are all enhanced in that kind of setting.
What I like most about the one-city, urban game is that actions have relatively immediate consequences, and those consequences are contemplatable by the PCs. Of course, actions have consequences in any game (or, any good game with a good GM), but in a city they are right there because of the density of population and the difficulty of doing anything undetected or unheard. Moreover, since in a city people know each other, information and events spread fast: to take a simple example, if the PCs kill somebody, it won't be long before other people know about it. They might not know who did it, but they'll know it's happened because in a city, bodies get discovered and almost nobody isn't missed when they're gone.
Because consequences are ever-present in an urban game, this means that the PCs constantly have to contemplate them - and this adds a deep and rich layer of strategy and tactics to their approach. To continue our example, if the PCs in an urban game want to kill somebody, they have to consider what that will mean. What are the chances of discovery? Who will be pissed off? Who will come looking for them? Will the police find out (if there are any)? What evidence might they leave? They have to plan their actions carefully, constantly aware of the ripple effects of causation.
All of this should be present in any game, but the urban setting lends itself to it like no other. This is why, ultimately, I think I will always be most at home with the one-city game, and why I will always be most comfortable with the systems which suit that.