It is a paradox at the very heart of fantasy fiction that, unless there is a consistent and convincing (read "realistic") setting for the characters and their actions, the story may well drift apart in flights of unbridled fancy. In order for the elements of fantasy to succeed, they must be grounded in a recognizable world inhabited by characters and creatures whose attributes and abilities are carefully delineated. For example, when Conan confronts an unnatural monster, the only valid way you're going to have hackles raised on the audience's collective neck is if your hero is vulnerable, his situation believably desperate, and the monster so real you can smell him coming! It's not just a willing suspension of disbelief we're talking about but an actual embrace of the fantastic images as true for the span of the tale.
[emphasis in original]
--Alan Zelentz, forward to Robert E. Howard's Conan the Barbarian Vol. 1 No. 1 (Marvel, Thomas/Windsor-Smith)