For the last 5 years, pbp gaming has been been pretty much my only role-play outlet. Most of it has been here at Enworld. When I started, I had no books with me, so I played off the SRD. Which meant, when I wanted to run a game of my own, I had to home-brew the setting. Over the years I have tended to work with variations of three basic settings; your vanilla fantasy medieval Europe, feudal japan, and an anime influenced Edwardian steam-punk.
I now have a couple of published settings on the shelf somewhere, but have never run any games with them.
For as long as I have been gaming (which is much more than 10 years), I have been fiddling with the rules. I have created whole new systems. I tend to do it less these days, as it just raises the bar to entry. The two biggest changes I made when playing 3.5 were the adoption of Ken Hood's Grim and Gritty Revised Rules for combat, and the development of a classless character generation system. I still use the former, but have dropped the latter for the moment.
For a more detailed break down -
Races: Don't brew my own. I often change the names of the existing ones. I usually limit the available races. I occasionally tweak the mechanics of the existing races - half-orcs have Low Light rather than Dark vision, sometimes an additional bonus to Con. Narrative suitability rather than balance tends to be the driving principle. But having seen people 'crash' (as Gilladin so nicely put it) the system before, I tend to be fairly cautious with changes.
Classes: I've never home-brewed new classes. But I have home-brewed (with a little help) a classless generation system. It was basically just a point buy system for the the Core material. It was fairly rough and ready, and I never really played it enough to iron out the wrinkles.
Templates: Never really used them. Never done anything with them.
Feats: Don't brew my own. The odd tweak to existing ones on one or two occasions. I think.
Skills: Don't brew my own. I tend to hand out more skill points, and don't pay much attention to class and cross class distinctions. I like the idea of making languages work as skills, the more ranks, the more proficient the character.
Deities: I don't tend to use the existing pantheon much. I Stole Fajita's pantheon from 'Welcome to the Halmae' (see Enworld Story Hour Forum) for one of my vanilla fantasy games. The anime setting tends to be monotheistic, with saints representing different domains. In the feudal japan setting, the domains represent different 'aspects' of the 'godhead', the all encompassing spirit of things. Different sects revered different combinations of aspects. There were a couple of established ones and the players were free to create their own as well.
Domains: Apart from the above, I've never modified any of the domains, or created any new ones.
Spells: Pretty much used as is. I very rarely play spell-casters, and am not really familiar with the specifics.
Psionics: Used as is, when used.
Items: Used as is. I based technology around the magic item rules in my anime game: +2 Fortified Plate Armour with Goggles of the Night and Gauntlets of Ogre Strength became heavy powered armour with night vision. Something like that.
Vehicles: If the setting has vehicles, I tend to just give them basic stats like speed, range, firepower etc. Mostly its just descriptive.
Other: Can't think of anything.