I've been thinking of this. Taking into account settings that have established a fan base, it seems that three syllable names are a hit.
Other examples: Rokugan, Middle Earth.
There are some exceptions to the three syllable rule: Forgotten Realms and Iron Kingdoms come to mind. So does Diskworld. I won't mention World of Greyhawk because that apparently has trouble keeping the attention span of the guys at Wizards of the Coast, much less anybody else. (There is something intriguing about it, however.)
I guess if you want your fantasy setting to capture the imagination, giving it a three syllable name would be a good idea. But for some reason, I never think of three syllable names. Setting names I have come up with include:
Audor
Islar
Sedna D20 (Thought of this one when the discovery of Sedna was announced)
D20 Iron Mantra (I saw this title on a forum and thought it would be a cool name for a setting)
Atomic Kingdoms (Okay, this is an update of Iron Kingdoms)
Spacequest: Cluster (Okay, this combines two names I've seen -- spacequest which I first saw on a pinball game in the 1970s, and cluster, which is the title of a Piers Anthony novel.)