On one hand, fantasy world is based on magic. In fantasy there are daemons, witches, sorcerers, spells etc.
But on the other hand, real magic is a sin against God's Will
Deuteronomy 18:9 (ESV):
9 "When you come into the land that the
LORD your God is giving you, you shall not learn to follow the
abominable practices of those nations. 10 There shall not be found
among you anyone who burns his son or his daughter as an offering, anyone
who practices divination or tells fortunes or interprets omens, or a
sorcerer 11 or a charmer or a medium or a necromancer or one who
inquires of the dead, 12 for whoever does these things is an
abomination to the LORD. And because of these abominations the LORD
your God is driving them out before you. 13 You shall be blameless
before the LORD your God, 14for these nations, which you are about to
dispossess, listen to fortune-tellers and to diviners. But as for you,
the LORD your God has not allowed you to do this.
Revelation 21:5 (ESV):
5 And he who was seated on the throne
said, "Behold, I am making all things new." Also he said, "Write this
down, for these words are trustworthy and true." 6 And he said to me,
"It is done! I am the Alpha and the Omega, the beginning and the end.
To the thirsty I will give from the spring of the water of life
without payment. 7 The one who conquers will have this heritage, and I
will be his God and he will be my son. 8 But as for the cowardly, the
faithless, the detestable, as for murderers, the sexually immoral,
sorcerers, idolaters, and all liars, their portion will be in the lake
that burns with fire and sulfur, which is the second death."
While fantasy magic may be not the same as real magic, as far as people keep it fantasy, it may lead someone to the thoughts that magic is fine, and furthermore, that it would be cool to learn some real magic. Remember that fantasy is mostly for kids and that is a real danger if they don't have enough knowledge of God's Law.
But there is an other side also, many believe that Tolkien's Lord of The Rings has a Biblical background (see The Gospel According to J.R.R. Tolkien by William D. Brehm), as well as C.S. Lewis in Chronicles of Narnia.
See also Religious debates over the Harry Potter series