The ones I know of off hand are the following, also would be good to know what rule edition they initially started in and if they are no longer updated as of what edition:
Dragon Lance (I think this is one)
Grey Hawk (I believe this is the standard Players Handbook setting for D&D)
Well, if we're only counting the WotC ones, in no particular order:
- Dark Sun -- 3.x material in Dragon and Dungeon, and of course it just came out for 4e.
- Eberron -- winner of the setting search, by Keith Baker. Got a lot of WotC support.
- Forgotten Realms -- the biggest one, probably.
- Ghostwalk -- one book, interesting setting about undead.
- Greyhawk -- lightly supported by WotC, but don't forget that WotC's organized play was mostly about Greyhawk!
- Mahasarpa -- Web only, Southeast Asia flavored.
- Nentir Vale -- the default 4e setting. Will get real support next year.
- Planescape -- got mostly magazine support from WotC. Built into the 4e generic setting.
- Ravenloft -- will be an official 4e setting next year, I think.
- Rokugan -- yeah, Legends of the Five Rings. WotC published a version of Oriental Adventures using the setting, though.
- Spelljammer -- showed up in Dungeon magazine once or twice.
- Council of Wyrms