I've tried to take the question literally - rather than what shows I like, these are the fictional universes I find compelling and interesting and well crafted.
Stargate - A relatively simple founding concept that created a really interesting expandable universe. Got a bit lost as time went on but the original premise of say seasons 1-6 were great, and I think SGU was on the way to revitalising that. This is my favourite fictional universe, definitely.
Harry Potter - the wizarding world is a fantastic creation and had depth, scope and interconnectivity which made it seem real.
Battlestar Galactica (new) - really interesting parallel world to our own, and Caprica showed us the colonies before the fall. A bit on the nose in its comparisons, but I enjoyed it.
There are plenty of stories I like set in universes I don't find that compelling or even original. Hunger Games falls into this category, a really gripping story with great characters, but set in a generic sci fi tyrannical government dystopia trope. Firefly is similar. Loved the show to bits but take away the literalised space Western thing and it is another rebellion against an evil empire.
Doctor Who is a strange one. I love the Doctor and some of the backstory and aliens are masterful ideas (tardis, daleks, angels, the time war). But broadly, I find the universe a bit... naff. Too British, and just a bit quaint.
