The anime series, 'Last Exile' is one of them. In the world of Prester, Anatoray and Disith are two rival countries that are physically separated by a barrier of fast-flowing air current called the Grand Stream. What is interesting in the series is the fact that the rivalry between the two countries is governed by another independent entity, who provides the machinery and capacity for the two countries' wars. What's more interesting is the fact that the two countries know about this but still they battle with each other.
I recommend the book 'The City and The City' by China Mieville.It is a novel about the cities of Bessel and Ul Qoma. This time, there is no physical separation between the two cities. Yet their cultures are quite very distinct from each other. I was amazed at how the author intricately described each city-- you really have to read it to know about it for yourself.
The critically-acclaimed movie 'Another Earth', tells of a story where there is another Earth with another set of people just floating within Earth's view.
In many Zelda games, a very usual scenario to move the story is for the protagonaist to travel between "worlds" in order to complete a quest. In the Oracle of Ages for example, Link has to do some actions in the 'past' (World 1) to advance the game in the 'present' (World 2). In the 'Minish Cap', Link has the ability to shrink into a smaller version of himself thereby experiencing a very different yet connected mini world as compared with his real sized world. While in 'A Link to the Past', Link has a magic mirror that allows him to traverse between the Light and the Dark world, which is required to finish various in-game quests.
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