These are the stories that take place in places that aren’t our Earth, often not even pretending to be some variant on it. They may be worlds that sound a lot like ours, but the rules of magic rank those of physics, often just over a borderland, as in The King of Elfland’s Daughter by Lord Dunsany, or Stardust by Neil Gaiman.
Alice in Wonderland and Through the Looking Glass by Lewis Carroll
Red Moon and Black Mountain by Joy Chant
The Dragon and the George by Gordon R. Dickson, and its sequels:
The Dragon Knight
The Dragon and the Djinn
The Dragon on the Border
The Mirror of Her Dreams and A Man Rides Through It by Stephen R. Donaldson
The Riftwar series by Raymond Feist, which also includes the trilogy written with Janni Wurtz. These two series are interesting in that they examine the war from the POV of the opposing sides:
From the Krondor side:
Magician: Apprentice
Magician: Master
Silverthorn
A Darkness at Sethanon
Prince of the Blood
The King’s Buccaneer
From the Tsurani side:
Daughter of the Empire
Servant of the Empire
Mistress of the Empire
The Broken Citadel, Castledown, and The Great Wheel by Joyce Ballou Gregorian
The Guardians of the Flame series by Joel Rosenberg, comprising:
The Sleeping Dragon
The Sword and the Chain
The Silver Crown
The Warrior Lives
The Road to Ehvenor
Barbara Hambly’s Darwath series, including
The Time of the Dark
Armies of Daylight
The Walls of Air
Mother of Winter
Icefalcon’s Quest