Dorothy actually introduces this theme for us in The Wizard of Oz. There's a strong literary tradition of entering a bizarre new world: Alice going down the rabbit hole and through the looking glass, Lucy stepping through the Wardrobe, Coraline crawling into an "other" world, Rip Van Winkle traveling through time, and, of course, Dorothy's tornado trip.
But Wicked approaches this theme in reverse: what's it like for the people already in the "other world" when some weirdo bursts onto the scene and wreaks havoc? The idea of the "Other World" intrigues and scares Elphaba and Melena. Their visions of it are the stuff of myth and nightmare, much like Oz is for Dorothy. And it's definitely no mistake that the "Other World" is also a term used to describe the afterlife, a place and a concept that is appealing, scary, and totally mysterious in the book.
While crossing between realities makes for a good story, there's also a sense of wrongness about it. The Wizard is an aberration in Oz, and Elphaba, the product of two distinct worlds, seems to feel that sense of "wrongness" her entire life.