Fantasy worlds in other situations

The Legend of Zelda: A Link to the Past released the SNES in 1991 made use of a second world, the Dark World. It threw the protagonist into a dark reflection of his own world. Everything in the light world was mirrored and altered to look differently from it's other world counter-part, where the player would continue his chase on the antagonist.

The Lion, the Witch and the Wardrobe was also had a second world, via the back of the wardrobe, Narnia. It was a place where only the kids had gone, it wasn't the best fantasy world ever, but it was somewhere they'd found and discovered.

Ghibli's Spirited Away, another film incorporating a fantasy world. There were a lot of strange things in that world which you could tell made it a fantasy place. However, none of these 'other worlds' were created by imagination. None of the characters were so sad that they would have wanted to escape reality either. Chihiro was upset before entering the fantasy world, however it hadn't been an ongoing thing beforehand.