It does it all and so do we...
My group has used GURPS since , well, since it was Chainmail and Carwars/Autoduel. We've successfully and joyously used the Fantasy/Yrth setting (pre-Banestorm, we haven't played that world as of yet). So when people say GURPS doesn't do fantasy well, don't you believe them.
Supers was an obsession when it came out and we played that for several years to the exclusion of all else. We had played Champions, V and V and Heroes Unlimited before that.
I've ran Horror/Post-Catastrophe/Atomic Horror hybrid games several times that we enjoyed as much as Aftermath, Morrow Project or Gamma World.
We did a Bureau 13: Stalking the Night Fantastic setting in GURPS that went over very well even before Black Ops, Warehouse 23 and Illuminatti came out. Once those books came out, well, our campaign against the things that go bump in the night took on whole new levels of cool.
We even loved playing GURPS/Autoduel/Supers, lots of fun!
I love all the GURPS settings for the most part and freely mix and match. My players never know what to expect and it keeps them on thier toes.