In addition to the fantasy-collides-with-real-life trope, I also love stories where a ragtag band of friends/people thrown together by circumstance have to find a way to survive and even thrive in their new reality: the Harry Potter series, the Belgariad series, The Chronicles of Prydain, Buffy the Vampire Slayer and The Chronicles of Narnia (again)... probably scads of others I can't remember at the moment. The Dragonlance Chronicles. Oh—and the Lord of the Rings, of course.
What I love about these is how the adventure not only shapes the characters but also their relationships with one another. I would gleefully read these books/watch these shows for as long as the story continued, so long as the saga maintains that same level of urgency and discovery.
How about you? Why do you enjoy these kinds of stories?
