The benefit of a setting not meant to be taken seriously is that nothing is off limits.
For those of you who avoid links like the plague, that's a video showing a Saints Row 2 "Zombie Uprising" mini-game. That's right, zombies in a ganster's paradise. Hilarious and fun!
A more serious, focused setting is often better, of course. But the benefits of a light-hearted setting should usually be considered while planning the game's fundamentals.
Aside from making expansion content easier to come up with, such openness in the setting also allows more opportunity to pivot during the production process. If a particular feature or activity looked better on paper than it feels after programming, then there are few limits to the alternatives available to you.
Incidentally, I might be looking forward to Saints Row 2 more than any game due out this year.
After playing GTA IV, I went back and played the first Saints Row... and I'm 100% convinced Saints Row (the original) is the better game. It's what the GTA games used to be. Rockstar is free to take the GTA series in whatever direction they want, but their last few games haven't felt anything like the early GTA games. The early games were sillier, wilder, and more open. THQ took over where Rockstar left off.
That's why I think Saints Row 2 is competing more with GTA's history than with GTA IV.