Excellent question. Being a fan of Savage Worlds, I'll try to offer what help I can. I'll start by listing the SW settings that I own and have read:
Pirates of the Spanish Main
As those are the only three I have any "tangible" experience with, they are the only ones I can really offer sound advice for. Of the three, I have only run Deadlands and Sundered Skies, though I would love to run PotSM at some point in the future (I have a soft-spot for "pirate" games).
Obviously, with so many different settings available, each one does something "different" and the first step is to decide which types of settings are going to be appealing to you.
Deadlands is, of course, an interesting mixture of spaghetti western, "dark" fantasy, weird science and horror. Not all of these elements need to be played up equally in your own campaign, but the potential for all of these themes to emerge and intermingle is there. Think something like Wild Wild West with an eerie "supernatural" kind of suspense lurking in every darkened corner.
Pirates of the Spanish Main is a game of swashbuckling action and adventure. Though it can (and often will) be played as a "straight" pirate setting (aka no magic or other fantasticness) there is the option of sprinkling in tiny bits of fantasy or horror should you choose to introduce such things as "ghost ships", cursed treasure or other superstitions.
Sundered Skies is a sort of "dark" or "survivalist" fantasy game that also has its share of swashbuckling adventure, though with a hearty helping of magic, monsters and ancient gods thrown in. Characters will typically have to travel via skyships to travel the world from one secluded floating island to the next. Oh, and the very sky that surrounds you threatens to turn you mad!
As you can see, each has its own "niche" and this translates into different attitudes and playstyles. Since they all use Savage Worlds, the rules all work more-or-less the same, but each setting adds its own quirks and twists to how the game is played, how characters are built and what kinds of characters make sense.
If I had to pick a favorite of the three, I would have to go for Deadlands simply because the setting is not only so familiar (who hasn't seen at least one of Tombstone, Unforgiven or A Fistfull of Dollars) and full of excitement and drama, but it has so many interesting twists to offer as well. You can be anything from a hard-boiled gunslinger to a wandering martial arts prodigy...a happy-go-lucky confidence man to a disillusioned preacher...a huckster who bends evil spirits to his will or a crackpot scientist trying to build a steam-powered flying machine.
If you haven't seen them already, I highly recommend checking out Kurt Wiegel's "Game Geeks" video reviews on Youtube. He has reviewed almost all of the different Savage Worlds settings thus far.
Please feel free to ask any questions and I will do my best to offer good advice.