I voted medieval coz that's where i easier get the most vivid images in my head of supernatural beasts.
In the old times people feared the woods, and our characters are the reason. A blood-sucking vampire or a lunatic werewolf is alot more scary if you don't even know what the closest city is called, or even where it is.
It gets a bit less scary and evil (although gets a cool masquerade feel) when everyone just has a GPS and a revolver at hand like in the US.
And vampires with space guns? You might say "blood angels", i say "I don't really like blood angels.".
So i would say Medieval, secondly steampunk since that is almost medieval but with a twist, then modern.
And i personally would vote no for futuristic. But only for supernatural characters.
If the characters are beast hunters a future setting could be really cool. I can imagine the beasts being experiments of some kind.
All in all, it's very much up to who we're supposed to be in the drama.
If i'm a vampire, i'd rather play medieval. Where my name holds the most fear.
If i'm a hunter, also medieval. It's too easy when everyone just got a revolver, or even automatic guns.
So late medieval, so we can get hold of that cool black powder pistol, aw yeah