How do you get your reader into the fantasy world you’ve created? Here are some of the methods that have worked for various writers.
Don’t bother with a fantasy world: set all your action in Southern California. This is the method of choice for cheaply produced movies. Bring He-Man and the Masters of the Universe, or the Predator, some other set of fantastic characters, to L.A. It saves on production costs, and saves writers the trouble of being creative. Please don’t even think about using this method.
One exception–Ellen C. Maze’s vampire novels (if you want to count them as fantasy instead of horror). She makes it work.
Make subtle adjustments to our world to turn it into a fantasy world. I’m not a Harry Potter fan, but J.K. Rowling deserves a big hat-tip for coming up with this technique. It remains to be seen whether anyone else can pull it off.
Transport protagonists from our world into the fantasy world. No one ever did this better than C.S. Lewis in The Lion, the Witch, and the Wardrobe. This would appear to be the easiest way to present a fantasy, but don’t get the idea that it’s easy to do it well. But it is very easy to do it badly.
Treat the fantasy world as if it were the only world. This is the approach most commonly used–Tolkien, Fritz Leiber, Harry Turtledove, and (blush!) I, just to name a few of many. How to do it is the tricky part.
I think it’s best to start the reader off with people and places that will seem familiar, or at least easy to adjust to, and introduce him gradually to people and places that are increasingly fantastic. This is why The Hobbit and The Lord of the Rings start with Hobbits in the Shire. Although Hobbits are the product of Tolkien’s imagination, they are very much like us, inwardly; and as the story progresses, and they move out from the safe, comfortable Shire, they respond as we would to the more exotic regions of Middle-Earth: with wonder, joy, awe, and terror. He makes it so easy for us to identify with Hobbits, he doesn’t need to start the story somewhere in our own world.
Always assume your reader can’t help being skeptical. You’re asking him to believe in something he knows to be fantastic: and in this you have to give him all the help you can.