Now we're going to talk about a major fantasy idea that also appears quite a bit in sci-fi as well. It's one of the things I love about fantasy the most:
NUMBER FOUR: Exploration
Any fantasy book you pick up is almost guaranteed to have some kind of running theme of exploration and/or discovery. High fantasy typically involves the more traditional expectation of this: crossing big mountains and rolling fields, delving into deep caves, uncovering old secrets in mystic forests, etc. Urban fantasy more often deals with the discovery of fantastical elements in general, and the exploration of how deep the rabbit hole goes.
So there's physical exploration of the world (road trip!) and mental exploration of the fantastic (magic is real?!). So let's look at Final Fantasy 6 for our "physical" exploration and Neil Gaiman's Neverwhere for our "mental" exploration.
In FF6, it's stated from the legendary opening movie that magic is real and pretty much everybody knows about it. gods are real too (or were) and most everybody knows about them too. The exploration comes from literally exploring the physical world, from forgotten islands to a ruined landscape. Things are uncovered in the plot as well, but you're trekking across an entire planet the whole time, hopping from one local to the next.
High Fantasy loves this. Lord of the Rings takes you from the peaceful Shire to the blasted landscape of Mordor. The Sword of Shannara has the reader traveling from boggy swamps to ancient fortresses. Exploring the world, showing it off, letting the reader see new landscapes, is one of the most fun things about fantasy. This is one part of world-building, which I'll talk about later, and is essential to any sort of fantasy.
Now, in Neverwhere the sense of discovery is centered more on the fact that magical stuff exists at all. In the TV series, Richard Mayhew discovers the world of London Below: a hidden society beneath London (fancy that!) that has all sorts of whimsical things and goings on. Now, while Richard does travel around, his sense of wonderment stems mostly from his discovery of things he previously thought impossible, as opposed to just the cool scenery (though there is that too). His exploration is of the new perspective he has gained since finding out that things like magical markets and people who can travel through magic doors are real.
Now, both FF6 and Neverwhere incorporate both physical and mental exploration (most fantasy stories do), they just do one significantly more than the other. Fantasy stories that usually combine both in equal measure are "portal" stories, where the main character goes from our world to another (like in The Lion, The Witch, and the Wardrobe). And that's another discussion all by itself.