My setting: seinen anime, martial arts, cyberpunk, supernatural (PEACH)
So, I'm working on a setting for my new game, and these are the building blocks I'm working with:
Anime inspired: As the system, the setting is mostly inspired by japanese comics and animation. It tries to evoke the feel.
Seinen: The target demographic is males from ages 18-40.
Martial Arts: This is a setting in which training and martial arts can make you almost superhuman. With proper training, a fist is more powerful than a gun.
Cyberpunk: Set in 2030, this includes a bit of advanced technology. Everything is smaller and wireless, mechanical prosthetics are as good as the originals and available to almost everyone. There are prosthetics that are even better than the originals, but that's only available for military and in the black market. However, this setting has more in common with more recent cyberpunk works (such as Idoru) than with older works (such as Neuromancer). It is lighter and more hopeful. There is one country where things are pretty much oldschool cyberpunk, though.
Supernatural: There is a parallel dimension, the Other World, where supernatural beings reside. These beings are not the same from legends, but they are the ones the legends are about. There is a supernatural power, dealing with spirits and natural energy. It works pretty much like all those ki-based powers from most action animes, though of course it has it's own quirks.
OK, now for the specifics.
The Other World has been there forever and it touches our world in a few points, called gates. From the gates you can go from one world to the other.
In the 40s, during the war, some countries were looking around for anything they could use as weapon, including magic. They found out the people who used that supernatural power and the gates and it started drawing many beings from the Other World. Suddenly, a full scale invasion seemed possible. The power users gathered, discussed the issue and drove the extradimensional beings back, setting up barriers in the gates. They also established ways to contact each other in case something similar happened.
In the 90s, the person in charge of this gathering of power users decided to get money out of it's use. He orchestrated a martial arts tournament and got it on television. It was a huge success. One of the fighters in this tournament decided to set up an academy to teach anyone with enough money this power. This drew attention from the Other World again, but the barriers seemed to be enough.
Around 2001, however, a monster started rampaging through Asia. Big and related to fire, he could not be fought by the military. Jumping from flame to flame, he could cover a lot of ground very fast and he was hard to pin down. He caused terror for around a month, until people noticed his presence was messing with all the volcanoes in the Ring of Fire, then terror got even worse. The volcanoes started erupting and though the power users tried their best to contain it, many countries were destroyed. A group of warriors finally faced the monster in battle and saved the world from this fate.
A powerful country destroyed by the volcanoes was forced to turn to companies for support and ended up as our standard cyberpunk world - corporate owned, brutal and grey. A cult began worshiping the fire monster and wants to bring him back. All over the world, countries added power users and measures against the use of powers to their peacekeeping solutions.
There are some other details, but that's basically this.