Well, there's the newest world I mentioned before, the one where you become a pony. Fair warning, most of us are finding it hard to adjust to walking on four legs, let alone all the other nuances. Luckily there are some natives here that are willing to help.

There's also the Mother of Invention, the ship I mentioned before; it's a very sterile environment which has already been cleared of the bigger nasties. You could consider it a mid-grade hunting environment, if you want to hone your Dream Eater's skills.

And last but not least, there's Traverse Town itself, which is where we are now. It's reasonably safe; there are low-level Nightmares you can whack around to get money and dream pieces if you want to make another Spirit.

If there are any other worlds, I haven't been to them yet; someone else will probably know more.