There are countless worlds and dimensions out there, each with their own histories and secrets. They tend to exist outside the prime universe, but it makes them no less important. Getting to these places are usually an task of its own but not completely uncommon.
Locations:
Lesser Known Realms: Tend to be smaller pocket realms and other strange oddities.
Prime Realms: Other 'Prime' realms that exist on a large scale.
Elsewhere: Anywhere that doesn' fit.