I'm not sure how familiar you might be with Fantasy Flight's campaign setting of Midnight, but it always struck me as a remarkably well-done setting, especially with its What-If-Sauron-Won sort of presentation. To limit the setting to that description, however, would be a disservice. It's a setting where players will face true evil, incredibly long odds, and an uphill battle the entire way. In a sense, the world itself never stops challenging the characters, and I think that's what I like about it.
I ran into Against The Shadow the other day, which is a great Midnight resource. I'm sort of surprised I hadn't run into it before, but there you go. It goes quite well with Darkness Falls, the Open Gaming site for Midnight (yay OGC!). I always love to see that sort of fan support, especially for a well-done setting. Check those sites out, as well as the Midnight homepage, if you haven't had a chance to see what this setting is about yet.