The angle I would take on it for a grim fantasy take is that there are many gateways to the realms of the Fey, most of which lead to another gateway that opens into another part of the mortal world. Anyone and anything can pass through these gates provided they enter properly,* which take the form of things like standing stones, trees that have grown into an arch, the entrance to a burial mound, a windblown hole in a rock or an underwater grotto. Once you go in, you can't turn around, you have to reach the next gate to get back out.
The gates usually lead to the same place consistently, for hundreds of years at a time, resulting in them being used as an alternative to conventional roads if the locations that can be reached from either end are worth it. Sometimes they just stop working, break due to subsidence or forest fires, or suddenly lead to a different realm than before.
Different Fey lords have different realms, some are places of misty forests stalked by horned huntsmen accompanied by packs of spectral hounds, some are home to whirling wind and scraping sand, haunted by jackal headed monsters that gnaw on the bones of the lost, or steamy jungles run through with streams and the alluring song of women-faced spiders. Yet others are copies of mortal cities, filled with soulless changelings that seek to replace travellers as they pass through, or are gardens of pleasures that tempt travellers to stay forever among the fair folk.
Most of the time people who go in gates come back out, barring the odd person who falls prey to the slightly above average dangers within, but some gates are able to be safely traversed only by people with specific qualities, with anyone else being almost certain to die or be trapped forever. The Fey do not generally converse with mortals, at least not on any matter of substance, preferring to limit dialogue to petty insults, threats, banal trivialities or riddles, and deciphering their motives is entirely a matter of speculation.
*Not necessarily intentionally mind you.