I am a big fan of "CNN" compatible settings, in other words all settings people are used to from watching big TV are fine for games usually, but remember that popularity varies from continent to continent. As settings are very broad it is easier to tell developers which do NOT sell. Of course there are always exceptions to the rule...
If you have access to sales data reaching back for years you can verify this easily:
Underwater doesn't sell
It is a common misconception that underwater sells. It usually doesn't with the exception of submarine simulations, and even the simulation genre is pretty dead (Flight sims aside). It is a sexy setting, feels like space sims but with more interesting possibilities. But somehow people do not feel well underwater. It is a surounding not many of us are comfortable or experienced with. If we dive we usually have our eyes closed or the view range is limited. We mostly know underwater from TV documentaries.
Not feeling comfortable is key here to the setting. People simply like their natural habitat more than underwater. So my recommendation is if you plan to place your game underwater: don't.
Wild West doesn't sell
The classic western theme either from hollywood or the european vision of it doesn't work. I don't know exactly why but somehow it seems the wild west is a part of american history the americans tend to forget as it wasn't very civilized during those times. The romantic view we europeans have due to books or movies is very misleading. Hint for germans: Karl May educated a whole generation about the Wild West which doesn't work for americans.
I think the setting is also pretty old. In my younger times Wild West was cool, as were pirate films. Nowadays a younger generation of kids like the setting but pretty fast loose interest when Bruce Willis, Batman or Spiderman replaces their picture of heroes.
Pirate settings did fall into the same category but the recent hits of pirate movies did push sales in this setting a bit. But putting the movie license aside a pure pirate settings is a bad idea if not taken into the correct historical setting.
Sci Fi usually doesn't work
Thats a suprise for many but hard core Sci Fi usually doesn't work. Strangely Sci Fi has many facettes where some of them work quite well. If your setting is close to current living but with a touch of future technology it works very well. If you reach far out into the future the likelyhood that your game works is lessened considerably.
Some years ago Fantasy would have been listed here as well, but Lord of the Rings educated a world what classic fantasy is all about followed by the recent hits of books like Harry Potter or Eragon did their job as well. Even my mom now knows what an Elf is.
With Sci Fi there hasn't been a major hit recently to educate the masses. Star Wars is long time ago and Clone Wars is aimed at a young audience. But even Star Wars is merely a shakespeare story in another setting, so it works.
This setting is the only one which you can use if you follow some rules that you aren't too far off from human experience.
Many readers might not agree with Sci Fi being a bad choice but think about it: why does Call of Duty outsell Unreal or Prey?