Sometimes they were.
There were three main types:
1. The World of Tiers: The Maker of Universes (1965), A Private Cosmos (1968), etc. A man from our world is trapped on a multi-plane world occupied by various human, alien, and mythical beings. He kills lots of bad guys and falls in love with a girl. Yawn.
The first book is great, but it takes three more before anyone solves the mystery, and then it's a complete let-down: "So this was what all the fuss was about?"
Still, it was nice to imagine every person who has ever lived standing around naked, including Genghis Khan, William Shakespeare, and my high school history teacher,
The 2010 tv miniseries added a new hero, a modern-day journalist played by Tahmoh Penikett.
Doc Savage (Lord of the Trees and the Mad Goblin, 1970), and Sherlock Holmes (The Adventures of the Peerless Peer, 1974).
The Jules Verne hero Phineas Fogg meets aliens (The Other Log of Phileas Fogg, 1973).
Dorothy's son returns to Oz (A Barnstormer in Oz, 1982).
Also, in Flesh (1960), the good guy mass-murders a tribe of gay-stereotype Elves.