Here’s a possible idea for a setting. It owns to Hurlements, Nephilim, Highlander, Continuum.
The story is set on our Earth, past, present and future.
The heroes are immortal, Wandering Spirits. They have existed on Earth since before Mankind, and will still be there after Mankind. In a way, they are gods: free to roam at will, to experience it all, without fear of consequences. In another way, they are but prisoners, condemned to live and relive the history of the world, either as passive observers, or as mere humans, borrowed for a day or a lifetime.
But there is a way out – a different one for each campaign, one which is decided during campaign setup by the players and the GM. Perhaps mankind needs to find its way to harmony, or perhaps it needs to reach the stars before it kills itself. Or perhaps mankind needs to willingly fade into oblivion, or perhaps it needs to raise a Messiah, or to commit self-genocide.
Each story starts with each Wandering Spirit borrowing a human body, at a given point in time and space. They have something to do in that period. They have access to both the memories of the Wandering Spirit and that of the human, but only the physical skills and resources of the latter. They have picked this point in time and space, because they can change the world, veering it towards its way out.
But something in their past is tracking them. Something, or someone, is ready for their arrival, and has taken steps to crush their hopes, whatever they are. And of course, there is that nagging feeling that the something in question might be the Wandering Spirits themselves.