Constantinople. Starting with Constantinople has at least moved me out of the starting blocks.
My original thought was to use Constantinople juiced up with a bit of magic and weirdness. While I still might do that, I am now thinking of creating a fictional city with a lot of elements lifted from Constantinople. I am also thinking that I want a setting that I can use with multiple rule sets--GURPS, FATE, and Swords & Wizardry--so for now I am mainly thinking about setting and not system.
What has worked well when you have run a medieval urban fantasy RPG setting?