Malifaux is a skirmish-level fantasy war game set at the end of the Victorian era. However, the setting isn't a magicked-up version of our earth; rather, a breach had been discovered that led to another world that is rich in a valuable, supernatural substance, which has now been colonized by ne'er-do-wells, opportunists, and transported criminals. The overall aesthetic is a mash-up of things I like: Gothic horror, weird west gunslingers, and outlandish steampunk inventions. If they ever add pirates I will assume they've been scanning my brain while I sleep.
Despite being a war game, the way the setting is deployed in the rule books has something to offer rpg world builders as well. (And there is an rpg, Through the Breach, that came along later.) The city of Malifaux isn't described in terms of heavy detail; the game bills itself as a character-driven skirmish game, and that is exactly where the setting focus lies. Most of the descriptive heft is given to the various factions that fight for dominance throughout the city and its greater environs. There are renegade sorcerers who run the Miners and Steamfitters Union, the triad-like Ten Thunders, the monopolistic Guild that owns the law of the land, nightmarish Lovecraftian beings who wish the repel the colonizers, etc.
The emphasis in Malifaux isn't on history or geographic detail, it's on the movers and shakers. Of course, this makes perfect sense in a miniatures war game, as the publisher wants you to buy a faction of little men and monsters to assemble and paint, but that's also something to keep in mind when working on a role-playing-focused setting: the layout of the setting, the number and size of the capital's aqueducts, and the yearly yield of grain is all subordinate to the way people organize themselves, what their schemes are, and who is willing to kill who right now.
Anyway, a Malifaux art dump: