Rome

I believe that Rome is a truly excellent setting for Role-Playing. Why?

No police force.
Brutal laws that often involve death, but are reasonably understandable.
Bribery works like a charm.
A successful politician's career has no end of violence.
There's no law against carrying weaponry on your person.

It's like a Role-Playing setting already, but better fleshed out, and with more realistic avenues for advancement than, "I killed 2.700 orcs. Now I have a legion of followers who flocked to me for some reason."