THE DREAMLANDS
The Dreamlands exist in another dimension and are ruled by Bob. They're very close to our world, but can only be accessed by achieving a mental state akin to REM sleep. Naturally, only a skilled 'dreamer' is able to maintain enough control to reach them. After a powerful dreamer caused a near catastrophic event, Bob ordered the borders with the Waking World closed. This is easier said than done as there are many points of contact between the 2 worlds.
The main entry point is the Enchanted Forest, and while it's heavily patrolled, there's been more than one case when an experienced dreamer managed to evade the watchers. The merchant city of Dylath Leen is the capital of that region, which includes Nir and Ulthar, and as such is the first line of defence against dreamer infiltration. Apart from highly trained guards, Dylath Leen also employs spies. The city's dungeons are famous and so are its torturers, since, whenever a dreamer makes it into the Dreamlands, it's necessary to find out exactly how it happened. For instance, in The Heavenly Journey of Brother Lucas, the titular monk gets there thanks to one of the Pnakotic Manuscripts.
Bob and the Silver key
Not much of the Dreamlands has been shown in the series. When Bob is seen with his cosmic flame background, he's usually in his palace in Kadath, and Brother Lucas is taken to Dylath Leen. While he's blindfolded, he can smell the scents of spices and exotic perfumes, and finds them intoxicating. The Dreamlands are like a heightened version of our world, and its inhabitants are preternaturally beautiful and graceful. Everything is so perfect that the monk accepts he's in Heaven and believes his torturer when he tells him he's the angel Haniel.
INSPIRATION
The names, descriptions, and geography of the Dreamlands were taken from H P Lovecraft's The Dream-Quest of Unknown Kadath, as was the description of how to get there. However, this version is a lot less friendly.
CARCOSA
Carcosa is the King in Yellow's kingdom. There, the once proud and scornful nobles are forced to mutilate themselves and dance for the King's amusement (see picture below). Carcosa is located in another dimension and is separated from our world by a magical barrier. However, the more the insanity levels increase on this side, the weaker the barrier becomes, and in Penny and the Silver Key, it has disappeared completely.
INSPIRATION
This Carcosa was taken from Robert W Chambers's The King in Yellow. Like in Chambers's stories, its stars are black, and its nobility lives in fear of this powerful being.
YUGGOTH
Yuggoth is a planet on the outskirts of the galaxy inhabited by an advanced civilization of octopus-like aliens, who are allied with Bob and planning an invasion of Earth.
INSPIRATION
Yuggoth was taken from the works of H P Lovecraft, though its aliens are different.
INTER-DIMENSIONAL SPACE
It's the space between dimensions, only glimpsed when someone moves between worlds, where ancient tentacled beings float like whales in a cosmic ocean. Penny walked through it after using the Silver Key in Penny and the Silver Key #2 (see picture below), and that's where Prof Tussmann was dragged to in Mummy Issues.
NORTH POLE
The North Pole may not be in another world, but it's a magical location. In Tim's Winter Adventure, Selene tells Tim that there's a great concentration of magic there, some of it quite ancient. This can result in temporal distortions and other disorienting effects for anyone who happens to run into one of these magic-heavy zones. The area was often used as a dumping ground for banished gods and displeasing servants. It's where the Bottomless Pit is located, along with the Queen of Snow's frosty residence and Santa's Village.