For the record, we are talking about the Known World...the Hollow World will get it's own discussion.
The Dungeons & Dragons game has a great many settings.  More than a few of them are what we'd call "generic" style fantasy, meaning there's not really anything setting them apart from any of the other worlds.  These are what I consider to be "basic" settings, or "normal".

Sure, each of these settings has a particular flavor all its own.  For instance, Greyhawk is Greyhawk, with the oldest gaming tropes fully integrated in the customs of the land.  The Forgotten Realms are The Forgotten Realms, replete with every real-world cultural facsimile totally assimilated into the world.  Then, we also have Mystara, the often overlooked "basic" campaign setting.

So...what's so nifty about what amounts to "just another" generic fantasy setting?  Mystara is linked to the entire series of Dungeons & Dragons modules, to make it as convenient as possible for new players.  The ruleset used (Rules Cyclopedia) has some nifty things that make it different from other settings, but how to quantify this difference?

In order to keep the three "basic" campaign settings separate experiences that don't simply mesh together, it's important to consider what might have been the motivation behind each of the three worlds.  I'm no insider, but after reading most of the material I feel I can speak to this point.  The main differences between Forgotten Realms, Greyhawk and Mystara is the overall tones or themes presented in each.

Forgotten Realms is High Fantasy, Greyhawk is Dark Fantasy and Mystara is Heroic Fantasy.  Heroes in this setting, following the built-in game rules and modules, will rise up to be leaders of the realms and eventually, perhaps, ascend to join the ranks of the Immortals.  That's the sort of story arc you don't get in most games, but it's pretty much part and parcel of Mystara.  Therein lies the second difference:  Mystara's scope is grander than the other settings in that as you progress through levels, your influence on the world is reflected in the Rules Cyclopedia's systems.

The Known World is also one of the more developed worlds, as far as published products.  The Gazetteer series of supplements each focus on an area of the world and expand it greatly.  These are some of the best products TSR managed to create, and that's why they cost an arm and a leg on eBay.  In addition to expanding the game world, the rules themselves get expanded in each as well.  It's a nice touch as this provides more depth to each specific area and to the game in general.

The realms, regions and kingdoms of Mystara are unique enough as well.   Almost all cultural stereotypes of the the real world are represented in the Known World.  Vikings, Mongols, Native Americans, Anglo-Saxon Knights, Romans...the list goes on.

Magic is at a high level, as there are flying airships in the world.  Dragons appear on wandering monster lists pretty regularly in the modules.  People trade subdued dragons and Rods of Cancellation back and forth at rather low levels (I'm looking at you, Horror on the Hill), but this isn't a bad thing as far as gaming opportunities go.

One final note:  the setting gives us the most freedom to conduct warfare out of all the other settings.  Sure, there are wars on other spheres - but the conquest part of the game is already assumed in the rules, and Mystara goes out of the way to provide plenty of land ripe for your armies to fight over.  We have a huge miniature collection, and you can be sure we want to use it.