In terms of literature, I'd have to go with Ian M. Banks' Culture universe. A fascinating and relevant universe of mind-blowing proportions. The first Culture book I read was Consider Phlebas, and there are about five moments in that book that just blew me away.
Also, although I doubt it could be considered a whole literary universe, there is another that interests me to an enormous degree. It's the seemingly shared universe of Haruki Murakamis books. I say seemingly because only a couple of the stories are directly linked, but they all carry the same surreal tone and dreamlike qualities.
I've been told that the books by Robin Hobb are very interesting, and they take place in a shared universe. Something I'll be getting into soon.
I also have a soft spot for the Thomas Covenant stuff by some writer whose name I've forgotten. Standard fantasy fare, but the difference is in a despicable lead character who (very) slowly grows better over time.
In terms of games, I'd say the Half-Life universe. It really kicked off with Half-Life 2, what with the twenty year leap and the Combine as enemies. The tone and atmosphere of this universe is just incredibly powerful, and it's pretty much one of the only series of games that really pulls me in and just doesn't let me go. Although the direct story has been light, even in the new Episodes, there's an under-running story that is constantly hinted at or vaguely referenced. The mysteries surrounding the G-Man are particularly fascinating, and I'm extremely intrigued by some of the recent reveals in Episode 2. Even though not much has been revealed, I'm confident that there's something big going on here. Just who is Gordon Freeman, exactly?
In terms of comics, I'd say the Hellboy and BPRD universe is my favourite. There's a grand story that links everything together, yet it's still unpredictable and absolutely rich with fascinating characters and mythologies. The Earth X universe comes a second close, mostly because it radically changed my opinions on a number of Marvel characters and that universe as a whole. Oh yeah, and the Fables universe (or universes, more aptly) are just a given.