Exotic is more than a little bit in the eye of the beholder. I grew up in Boise, Idaho, which felt the most unexotic place in the world to me, and books were always a way to escape. So, trying to narrow this prompt down to one book is very nearly impossible.
But there were two settings that felt impossibly exotic to me, both then and now, and I have read a lot of books that take advantage of those settings: British colonial India, and Imperial Russia. Kipling and Tolstoy.