"The Traveler" by Richard F. Yates
Once upon a midnight dreary, there was a traveler…
He traveled far, through boring cities, and tedious deserts, and repetitious forests, but he was completely unimpressed. Then, one boring, tedious, repetitious day, he spotted a strange window, high up on a mountain. (It was SO high up, he had to take a ski-lift to get there—which was very boring.) He reached the window and opened it, and saw another world.
Beyond the window was a dangerous world, an EVIL world of green fire and razor blades and thrashing spirits and tempting flesh, and the traveler thought, “THIS looks promising…” And he jumped through the window.