Shortly along the Yellow Brick
Now, this isn't to say that Oz wouldn't make a fantastic setting for a game. It already has! I played in a game of D&D years ago where the DM literally sent us to Oz! It was actually kind of frustrating until we figured it out where we were.
The Sci-Fi miniseries Tin Man's re-imagining of Oz would make a fantastic dark steampunk setting. I would probably run it with Deadlands or Mutant Future. Most likely I'd use Mutant Future, as I own that one, and don't own Deadlands!!
There is a lot to be mined from Frank Baum's creation, but it's worth spending some time to clean away the stuff that wouldn't translate well into a game.