When I was a child (I remember) I watched a movie called Die Einsteiger. It was centered around a couple of geeks who were able to 'jump into a movie' by means of some technical instrument. The film was firmly in the genre of light entertainment, and the technique of entering the worlds of movies was simply used as a device for bringing in jokes and a bit of action. But I was fascinated by this core idea: what if you could simply enter a movie plot, such as that of Raiders of the lost ark or Dance of the vampires, walk around in the world of that movie, participate in the action (or wander off to some parts of it that weren't even shown in the film)?
Where did that fascination come from? Was it just childish identification with the adventurous heroes in those films? A bit of that was certainly in the mix for me, at the time. But then the fascination didn't fade away even long after heroic fantasies had (predictably) lost their appeal. So perhaps there's something more interesting to be found here. Mostly, I think, what was intriguing was this notion of crossing that border, of walking around in a world I knew didn't exist. After all, even though it didn't exist, it could be imagined, described, and even depicted in a movie. So how much of a step could it be to actually go there, to travel into it and walk around inside it? Strictly speaking, it actually can be done in fantasy only, and a movie such as the one I saw is best described as simply acting out a fantasy. But the fact remains that the idea on which this fantasy is based exerts an immense pull on the imagination. So let's have a closer look at that idea.
The world of a movie, just as the world of a novel, the past, or the future, is the world of an instance of unreality — it's not really there, but you can imagine it (including the people and events in it) to be there. Typically, this imaginative activity requires some prompting. Fiction is a paradigmatic example of what induces us to imagine such unreal worlds; but there are others, too: dreams do the same; or you can deliberately trigger it yourself in daydreams.
When we imagine the world of a movie, we fit it with as many details as is needed for the narrative. Thus Dance of the vampires will include a wide landscape in deep snow, a rustic inn, and a sinister castle where the vampires reside. It will also include a bizarre cast of characters (the single-minded professor and his fearful assistant, the selfish innkeeper and his beautiful bathing-addict daughter, and the cruel and powerful vampire chief along with his dandyish son). Once the world is stuffed and staffed with all these items and people, there is a sequence of events (the plot), with some memorable scenes perhaps standing out of the stream of what happens. What we mean when we speak of 'the world' of this movie is something like this rough inventory I've just given. We're only able to speak about it like that after we have seen the movie, of course, and that implies also that, even before that, the movie must have been realized (i.e. produced). All those items must have been created (by use of props and scenery, with the help of a camera and nowadays quite likely also computer-generated imagery); all those characters must have been portrayed (by actors), guided by a script and directed by someone with an overall vision, in order to make it coherent and detailed enough to be recognized as a fictional world on its own.
But of course, there is not much of a chance that this gigantic movie machinery will be put to use again just in order to give you that experience. (Some experience may be outside the powers of even Hollywood, anyway.) So your phantasy will probably remain just that. And this is where the idea of a device that can take you there, a device as in Die Einsteiger, begins to seem mightily attractive. (It's the same way in which a time machine begins to get a very desirable thing when you consider using it to visit some event in your past that you happen to have missed.)
So it seems there are at least two conditions to the desire to travel into the world of a movie: it must be a full-fledged world that is open for some possibly interesting activity (an activity that would be interesting enough so that you want to engage in it), and the surroundings must include options which you can't get anywhere else. (Consider: if a movie is set in the Bahamas, and the only thing that is intriguing for you is the nice, sunny beaches you see, then you wouldn't desire to be in the movie — you would simply desire to be in the Bahamas. Now unless that is so unaffordable for you that it is entirely out of the question, this is a desire that's easily fulfilled: just go there! The desire to have a movie-travel machine won't come up. It will only come into play if there is something attractive about the world of the movie itself, something you can't have by merely booking a holiday.)