I prefer to watch stories in a world that is notably different from our reality but that deals with similar issues. Mad Men, for instance, is a great example of this. It's 1960s America, which is very different from the America of today, but they're dealing with issues that develop into and define our time. Further, the way they deal with their issues, both historical and personal, feel very true.
Perhaps a better example is Battlestar Galactica. The writers have created a very well defined world that is most definitely not ours, but they involve conflicts that are recognizable to the viewer both as people and as citizens of early 21st century America. It's not just the Iraqi War in space, but it deals with themes such as religion and insurgency in its own context.
Basically, believability and relatability are more important than realism or escapism to me.