My favorite roleplaying setting is the Iron Kingdoms (IK) campaign setting by Privateer Press. Originally a series of adventures released in the early days of 3rd Edition Dungeons & Dragons, later releases expanded it to a full-fledged setting that really pushed the limits of the d20 System (for those unfamiliar, this is the system that D&D uses). What makes the IK great? Let me tell you.
The Iron Kingdoms is set in the land of Western Immoren, a land where nations war upon one another with swords, guns, magic and warjacks. What is a warjack, you might ask? It's a magical steam-powered robot. That takes orders from a wizard. In power armor. Seriously... digest that. The IK is a world that isn't quite steampunk (it's too fantasy for that), but melds the elements of an industrial society with a world evolved from the medieval fantasy default of standard D&D.
One aspect of the flavor I love is Mechanika. Mechanika is the fusion of magic and technology, and yields some interesting results. What that means for the adventuring heroes is that most over their magic items will be battery-powered... yes, you heard correctly. You're going to need to recharge accumulator (magical "batteries") to make your magic sword work. Of course, standard magic items exist; they're just rarer, and making them can attract unwanted attention from otherworldly beings.
I ran a campaign set in this world for about 2-3 years, and I loved it. The setting is also shared with a couple miniatures combat games (Warmachine and Hordes), so there is a lot of supplemental material to draw on as sources for conflicts in the world. I used these to create the feeling that while the PCs were definitely heroes, the world was much larger than them and that wars were raging around them. Good times. I recommend taking a look at this world. Good starting points are the Privateer Press site for the Iron Kingdoms at http://privateerpress.com/iron-kingdoms or by picking up the recently released PDF of the hard-to-find Iron Kingdoms Character Guide from http://paizo.com/. Enjoy!
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