For some people, it's an escape from the fates they had at home, or a place for people to be reunited with others they've lost. For others, it's... probably pretty unsettling to be in a different dimension and away from everything familiar. Or maybe it's a combination of the two.
Then there's the smaller adjustments, like living in a mountain, having limited resources for food and other necessities. It's definitely not ideal, but it's not terrible either.