Well I wasn't exactly sure at the time when I wrote it, but I think I'll go with a bit of a low-fantasy setting.  There are fantastical creatures but in low quantities, magic exists but is rare and barely even seen in civilized society.  I am leaning toward more of a high-medieval type period, perhaps even the beginnings of gunpowder use.  Castle Grimm will have some ancient secrets that will pop up from time to time but for player characters most will probably have little to no knowledge of things deemed unnatural.