Lovecraft kind of covered this in his Randolph Carter stories. Check out "The Silver Key"[1] as a prequel and "Through the Gates of the Silver Key"[2] as the payoff. It's not the typical horror he's known for, but definitely incorporates his larger cosmic themes.
[1] http://en.wikisource.org/wiki/The_Silver_Key
[2] http://en.wikisource.org/wiki/Through_the_Gates_of_the_Silve...