It is dangerous
Danger makes things exciting: makes people have to be careful and pay attention to what they do. There has to be a wide-reaching danger of characters dying or something just as bad happening to them.
It takes place in a unique society…
The culture, beliefs, history, laws, technology, etc. should be something that hasn’t been thoroughly explored in other games. This could mean a relatively explored bit of real history, an alternate history, or a future where society has changed in interesting ways.
…or, takes place in our world, but with big unique secrets.
If it does take place in a well-known world (e.g. the modern world), it should take place in a world that has quite a lot going on behind the scenes: conspiracies, subcultures, a secret history, and lots of unusual places and situations to explore.
It has a unique aesthetic
It shouldn’t just be different, it has to also FEEL different, in a way we can access via art, music, graphic design, etc. Technically, there’s very little difference between “underwater city” and “art deco underwater city” but the latter is much more fun to explore, even if only in our imaginations.
People can have interesting abilities
Having powers is fun. It doesn’t matter if the powers are mystical, magical, technological, the result of extreme training, etc. so long as some characters can have the ability to do cool stuff that not everyone can do. The more different powers that characters could have, the better.
There are plenty of mysteries
There have to be plenty of things for characters to discover, otherwise there is no point in them exploring.
There are plenty of grey areas
There shouldn’t always be a clear division between good and evil. It’s more interesting if there are people/organizations/causes that are ethically neutral, or might seem “good” or “evil” at first glance but end up being otherwise.
There is no universally benevolent government
If there was a government one could dependably go to for help, one could just do that when things get tough, which kind of blunts the danger part. There should either be no government, or an evil government, or a corrupt/dysfunctional government, or a government that refuses to believe in the things the PCs deal with, or a government that regards the PCs as a threat.
There have to be underdog heroes
There has to be the possibility for the people who everyone discounts, because they think those people are worthless or boring or powerless or low-class, to be the people who actually make a difference in the world (just like in real life).
There has to be hope
If there’s no hope that things can get better, there’s little motivation to do anything. Therefor, there should not only be a way the world can get better, but a way that the heroes can be instrumental in making that happen. The hope doesn’t have to be blatant; it can be as little as a faint glimmering in the darkness.