Usually, it takes a very cogent, thought-out, and plausible world for me to get into a fantasy story.  Things don’t necessarily need to be totally believable, but if there isn’t a decent starting point, I find it hard to be drawn in.  Fantasy worlds like those of C.S. Lewis, J.R.R. Tolkien, and to some extent the collaborative lore of the Marvel or DC worlds are easy to relate to because of the origin stories and either a (mostly) fixed pantheon, alien races, or Deities.