Playing in a licensed setting that you like can be fun. However, there is the problem of metaplot. If you are running a game in the Star Wars universe, there are a band of rebels running about, blowing up the Death Star, redeeming one of the two Sith and killing the other one, that sort of stuff. There's the expanded universe, but meh. It's even worse if you want to play around in Middle-Earth - the fate of the world is hanging on the shoulders of Frodo Baggins and Samwise Gamgee.
So whack those guys. If I were to run a Middle-Earth Game, Frodo would have failed (or never been born) and the PC:s have (or be able to gain) access to the One Ring if destroying it is a part of the campaign. In Morrowind, the Nerevarine isn't a separate character - it's one of the PC:s. The Zelda game I've been pondering would start with King Link's funeral, as he is laid to rest next to his beloved Queen Zelda, dead two years ago. Kirk has retired. You get the idea.
The alternative is to have the players play the actual characters from the franchise, or something very close. It can be done well. There is a Castlevania game on RPGnet where the characters are Simone Belmont and other descendants of the official families from the Castlevaniaverse. I'm not familiar enough with it to comment, but I suppose it's more of a sequel to the actual games.