Would be cool to read more about fantasy in ancient Greece, Africa
WWII, etc.
I'm fairly new to fantasy, so I'm definitely open to suggestions there.
Judging from the number of agents I've run across who have fantasy that's not set in a society that resembles medieval Europe on their wish list right now, I suspect you're not alone there.
I think the reason for its commonality is twofold--early fantasy (in the west, anyway) is descended from a style of romantic epic that became popular in medieval Europe, and it often attempted to recapture the feel of that kind of mythology.
The success of some of the earlier novels written in that sort of style (Lord of the Rings is probably the best known today, though there were much earlier ones) encouraged imitation.
And once that trope became established, people developed a fondness for it. And given that the US and UK fantasy markets are huge, and many of the readers were of European descent, then reading about romaticized and fantastical versions of their own history probably felt cool.
For me, pre-modern era UK settings press my coolness buttons, because I've actually been to the UK and have been to some of the old castles, stately homes, open air museums, ruins and reconstructed villages and so on. It has brought those medieval to Early modern era settings to life in my mind. They're easier to imagine.
And I like ale. Stories with ale. It's important to note that a lot of "medieval" fantasy isn't really all that medieval, though. Tolkien's world really wasn't.
Though there are certainly heroic epics that predate the middle ages (The Iliad, for instance) and from other cultures too (The Romance of the Three Kingdoms). And I too enjoy fantasy in other settings, both inspired by real-world locations, cultures and eras, and completely made up.
Some novels I've read recently (or am planning to read) that aren't set in something that looks and feels like medieval Europe include:
Brian Staveley's The Emperor's Blades
Django Wexler's Shadow Campaign novles
Brian McClellan's Gunpowder Mage novels
Kameron Hurley's Mirror Empire and sequels
Karina Sumner Smith's Radiant
NK Jemisin's books
Jaida Jones and Danielle Bennett's Havemercy and sequels
Saldan Ahmed's books
Kate Elliott's Spiritwalker books
Robert Jackson Bennett's City of Stairs
Mary Robinette Kowal's books
Anne Lyle's Night's Masque Trilogy
Francis Knight's Rojan Dizon trilogy
Jay Lake's Green and sequels
Amanda Downum's Necromancer books
Glenda Larke's Stormlords books
Some of Guy Gavriel Kay's books