The best places I've been are rich and deep - they go much farther than the story being told. The world the characters exist in becomes its own universe. Endless tales could be told from within a universe, and it always leaves us feeling like we want to see more of it.

I love Fantasy and Science Fiction and one of my all time favourite universes is the Diskworld series by Terry Pratchett who created exactly that: A universe where you can follow every character, even Death.
There are indeed endless tales. Well, at least there are 41 books in the series.
The diskworld is laying on the back of four elephants, that stand on a giant turtle that travels through the universe. It is flat, of course. It creates satirical parallels of culture, politics and scientific issues and often its simply hilarious. You can follow the adventures of the city watch of the greatest city in the world, Ankh-Morpork, or Rincewind, a failed student of the Unseen University for wizards. My favourite novel of the series is "Small Gods".It tells the origins of the god Om and his 8th prophet, Brutha. It satirises religious institutions, poeple and practises in the best way possible.
The author created a world that can be continued by others, can be explored in great length while being familiar because it is described in detail. I always dread the moment I finish a good book, so what's better than simply picking up the next one and continue while still meeting ones favourite characters once in a while.