I have many, but The Chronicles of Riddick was my favorite. It really was a shame that it was handled so terribly. It was very rich with potential.
Other close ones:
Firefly/Serenity
The Amory Wars (Coheed and Cambria)
Harry Potter
The Saga of Recluse (L.E. Modesitt, Jr.)
Ph’nglui mglw’nafh Cthulhu R’lyeh wgah’nagl fhtagn
To live in or to read about? For the first, it’s hard to beat The Culture. For the second, I like reading (or playing) in stories set in the Fallout universe, though no way on God’s blackened, blasted Earth would I want to live there.
My favorite is still Cthulhu, but if I had to LIVE in a interesting universe, CS Friedman’s Coldfire setting seems good. Sure there’s lots of terror and horrible, horrible death but ANYONE willing to put in the study time and hard work can become a fairly competent sorcerer. Not an Adept but good enough.
Not to live in, just can’t get enough of. The Culture looks intriguing!
To read about? Discworld.
To live in? The Star Trek future world of the Federation.
Tolkien’s Middle Earth, of course!
Discworld, Deepwoods and Bas-Lag
Aw, you took mine. 
But that’s okay! It’s an incredibly detailed world that hits all my right buttons (down to my love of the Ink Spots :)).
Post-Crisis DC Comics, before the New 52.
I still have a soft spot for Star Wars.
Cthulhu is also one that I enjoy reading, though it’s a little hard to call it a single mythos for me. Most of the stories can kind of fit together into the same sort of world, but some of them seem different enough from others that I’m inclined to see them as stand-alones. For example, Cool Air.
I could see living in the Bazaar at Deva.
I’m a sucker for the Wonderland universe, though it seems like no one but Carrol has yet ever given us a notable expansion of it. The best anyone can seem to do is to keep to the source material or turn it dark.
I like the old Arthurian legend. Modern additions have been pretty crappy on the whole except, strangely, for the comic book Camelot 3000, which was somehow able to really capture the intrigue, the epic dreams, and the crushing revelations that you get in the original legend despite otherwise having a ludicrous setting and backstory.
I really like Tanith Lee’s settings and mythology from the Flat Earth series.
Jack Vance’s “Oikumene” is a wonderful place, rich with adventure, yet extraordinarily civilized. One can live happily and safely there – sort of like a hypermodernized modern Europe – or, if one feels the call, one can zoom out beyond the Pale and engage in piracy, or collect poisons, or trade in slaves. I love the books (the five “Demon Prince” novels, plus the Cadwal trilogy, and some other allusions) and, yes, I’d delight to live there.
Burroughs’ Barsoom is a joy!
I liked Niven’s ‘known space’ universe.
LOTR is probably my favorite but I also like Zelazny’s Amber world.
What exactly would be the difference between ‘mythos’ and ‘setting’?
I love Discworld, in large part because things change and advance throughout the novels.
I think the Buffyverse has some pretty great world-building. There are tons of allusions and asides that indicate plenty of other characters are running around going on quests and doing their own thing outside of the narrow focus of the shows.
*Cool Air *isn’t widely considered a Cthulhu Mythos story, you’re right to consider it a standalone, IMO.
It’s hard to explain - simplest way of thinking is that a mythos is a setting with developed mythical history, I guess - so Discworld has a lot of foundational stuff like the Turtle and the Dungeon Dimensions and the Gods (even if those mostly fall away in importance over time)
Bas Lag has the Ghosthead Empire and the Malarial Queendom and stuff like that - a mythic/historic past.
As an illustrative point - the Marvel universe has a mythos, with the Celestials and Galactus and all that stuff. Spiderman by himself doesn’t really fit into that, his own foes begin and end with him and his place is New York - Spiderman has a setting.
Or like this; Superman has a mythos - exploding worlds, last scion of a dead planet, city in a bottle etc. Batman has a setting - Gotham really begins and ends with Bruce’s story, it’s not mythic in quality, it’s very human (leaving the Demon Head and occasional Dracula appearances out of it 
).
The world of the Malazan Book of the Fallen.