Try Imajica by Clive Barker.

It mixes fantasy and reality together. Starts in London and the main character John Zacharias Furie, Furie for short, has to journey with his shapeshifting lover (cue half a dozen or so good sex scenes) across five dimensions. He meets loads of weird creatures, his arch enemy is his doppleganger and he has to save the world before all the 5 Dominions are reconciled (ie the 5 Dimensions become 1 again). Its an absolutely fantastic read and I couldn't recommend it more to you. Dark Tower was mentioned above, is also a very good read, lacks that romance you're after though where as Imajica gets a nice little love triangle going and there is a bit of magic thrown in there for good measure.