If fictional characters could come to life I think it would be a recipe for chaos. Would they be subject to our laws? Would their magical qualities work here? Would they adapt to life on Earth or expect us to change our ways so our world resembled the worlds they come from?
Would they protest at the way they're portrayed in stories? I think that would particularly apply for the traditional bad guys, especially in fairy tales. Indeed in The Trouble With Mother my Chief Witch makes the point that fairy godmothers can often be as bad as witches but guess who gets the better press and who writes the fairy stories! Valid point I think.
As for going to other worlds, it would definitely pay to read up before you go. (For example, it pays to know that a thick coat is a very good idea if you're planning to visit Narnia. Also don't ever upset talking lions that you come across - it never works out well). I think I prefer my characters and fictional worlds to stay in books. After all the pleasure of reading is to escape this world for a bit. If their worlds come here, there's no escape!