Depends on what level you're looking for. Lovecraft's "Dreamlands" stories -- especially
The Dream-Quest of Unknown Kadath -- certainly fit the description above. They also concentrate much less on the horrific than on the blurring of lines between reality and dream, or the dream-world as a genuinely existing world of its own (very much an alternate dimension we enter in dreams, if you will), and a certain amount of poignancy and pathos. They were gathered together in two paperback volumes by Lin Carter,
The Doom That Came to Sarnath and
The Dream-Quest of Unknown Kadath; and more recently in
Dreams of Terror and Death: The Dream Cycle of H. P. Lovecraft:
Dreams of Terror and Death: The Dream Cycle of H. P. Lovecraft - Wikipedia, the free encyclopedia
This adds a few things that aren't, strictly speaking, part of the cycle, but which tie into it tangentially.
Clark Ashton Smith wrote several pieces dealing with this, but they've not all been collected together. However, Bison Books has reissued some of the Arkham House titles, such as
Lost Worlds and
Out of Space and Time, each of which have a fair number of them; I especially recommend such things as "The Abominations of Yondo", "The Uncharted Isle", and "A Night in Malnéant".
You might also try David Lindsay's
A Voyage to Arcturus and George MacDonald's
Lilith. There are quite a few out there, some dark, some light, some a mixture. If you're interested, I'll try to come up with some more suggestions; just let me know....