I think Starglim's view is pretty close to mine. A game needs to instantly suggest what the players should do, or at least one path to take. Potential users need to be able to visualize what it's about to get inspired enough to finish reading the game and possibly play it (Let's face it, maybe a fifth of downloaded games are given a full read through). Mechanics don't always suggest what exactly you'd be doing - that was a hard leap with early Traveller.
Chainsaw Aardvark is also right in that not all setting material is equal. A game can be full of useless trivia. Sometimes, I think it's a bane to free pdf rpgs that they can be as long as they want without worrying about printing limits; the extra fluff can hide the thrust of the game and lack of editorial focus allows meandering writing.
Sales of existing games imply that setting generally trumps rules. e.g. Rifts.
Examples:
"This is a dice pool game where you keep the highest roll. If there are multiples of a value, you can add them together to take as your highest roll. The caveat is that you roll without replacement for an event so taking multiples lowers your pool for future rolls."
"Gareth was married to Gwen but kept seeing Grellen. The bastard king is the offspring of Gareth and Grellen. The Pure One is the evil offspring of Gareth and Gwen. They lived in the same palace as kids and grew to despise each other."
"You're a monster hunter. The best way to kill a monster is with their own essence. So, you're also a monster harvester. The edge of your sword is made from vampire teeth. Your flak jacket is made from mummy wrappings with the ammulets still in place. Careful though, too much monster on you affects your head and, eventually, your whole body. Some of the toughest monsters use to be hunters."
Which one would you rather play? Ok, given the audience of hobbyist designers, probably the first. But I think most players would be more psyched about playing the third.
Depending on how their presented, mechanics can imply quite a bit of setting. I don't recall Pokethulhu having a complex setting but the opening pages and the rules make it clear that you are kids fighting with monsters.