Midnight isn't really a favorite setting per se, but it's one I've played recently.
Most d20/D&D games have magic spells and magic items aplenty. Not so Midnight, where the Shadow's minions have banned magic, literacy, weapons, and armor, and can sniff out magic use near them or their corrupt spirit familiars.
In such a setting, players have to think instead of casting routine spell X or using convenient magic item Y, given their costs or complete unavailability. Weapons and armor are real treasure; monsters are real monsters. Openly walking around with banned items or flaunting magic powers in most settlements will bring armies of orcs and evil clerics down upon you and the other villagers. Indeed, any loose talk against the Shadow will bring unwanted attention.
On the other hand, each of the Midnight-specific classes -- Channeler (the single magic specialist), Defender (unarmed and improvised weapon specialist), and Wildlander (modifier ranger) -- are tough even at 1st level, and the others (Barbarian, Fighter, Rogue) may have a few extra perks. Each character a Heroic Path that grants supernatural abilities in step with one's level. At least in our game, every character also had a Covenant Item, one magic item whose powers manifested more and more as we gained levels, and more importantly did NOT radiate magic.
Once you figure out what you can and can't do, who you can and can't trust, and where the seemingly invincible Shadow is weak, you can strike back. You won't change the world single-handedly, but you can achieve small -- and occasionally not-so-small -- victories.
"On two occasions I have been asked [by members of Parliament], 'Pray, Mr. Babbage, if you put into the machine wrong figures, will the right answers come out?' I am not able rightly to apprehend the kind of confusion of ideas that could provoke such a question."
- Charles Babbage (1791 - 1871)