First campaign setting (published or homebrew) you played in.
I guess that depends on what you mean by "campaign setting." By many standards, the time spent exploring the setting of the Keep on the Borderlands would qualify as a campaign unto itself. It started out with the official published material, with homebrew material liberally tacked on to the edges of the map.
After that we expanded into the Known World setting outlined in the Expert Rules and X1: The Isle of Dread. One of the maps had suggested locations of previously published modules noted on it, so I just ruled that the Keep was at the spot marked B2, and the characters moved on from there to explore the wider world. Via retcon, we essentially had been playing in the Known World all along.
We stuck with it through the re-christening of the Known World as "Mystara" and the Gazetteer series, too. My thoughts on the resulting campaign world are probably enough for an entire post, so I'll save that tangent for another time.