The Setting of a video game is about the tone of the universe the player finds themselves in. There are several general themes:
Cyberpunk refers to a world where cybernetic augmentation has either been introduced, or has become part of the standard of life.
Dystopian refers to a world where the quality of life for the average person has diminished, often at the expense of a higher ruling class or political power.
Fantasy is a generic catch-all for worlds in which magic, exotic creatures, and the paranormal are viewed as standard fare, although Fantasy itself can be boiled down into many sub-genres.
High Fantasy in general means a magic-heavy world with few, if any, references to technology, with the ones being present often being shown as dangerous, unreliable, or a mixture of both.
Low Fantasy in general means a world much closer to our own, but still possessing wonders like magic. Often this type of fantasy will revolve around the challenge of using such forces against the backdrop of a world of technology.
A Science-Fiction setting generally means futuristic technology will be showcased, possibly aliens too.
Steampunk refers to a world where technological advancement has not advanced much beyond the introduction of steam-driven locomotives. This setting may still possess a showcasing of technology, but may have added restrictions or trade-offs due to having to rely on steam power for energy production.
Utopian refers to a world where quality of life for the average person has been enriched, often portraying Humanity as an evolved species that has risen above the social, political and technological concerns that have plagued it for decades, and in some cases, centuries.