Yup, I have played in one or two such games, and run a couple too. There's something to having the character learn about the setting the same time as the player does...
Of the two I ran that went very far, the first was a single PC who played a version of himself. One night he awoke with a raging fever that grew hotter and hotter until his very touch was burning the carpet. He passed out and awoke in a huge wizardly laboratory. He discovered that he was supposed to the the saviour of the land, since the spell as designed to summon the hero who would save them. When it turned out that he was a 24-year-old biology teacher, with no magical or combat skills whatsoever, he was turfed out on his ear by the disappointed Wizard who summoned him. He hooked up with an elderly adventurer who taught him some survival skills before falling in with a beauteous Sorceress who recognised that he had some ability with magic and taught him the basics. Since then he has developed his magical arts more, hooked up with two locals who have helped protect and guide him. Oh, and discovered that he isn't who he thinks he is - he's actually an incarnation of the most powerful Wizard ever, who has disappeared, and his memories all belong to someone who really died whilst he was on Earth seeking out his nemesis. The game is based loosely around the Lyonesse series of books, using the Ars Magica game system heavily modified. It's in recess at the moment, but in due course it will be restarted, so he can take on the dreaded Horde and defeat his enemy, the Dragoleth! {imagine dramatic chord!

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The second involved the same player, with a similar start getting mixed up with time travellers. He became the target of a rich dilettante from the 26th Century who enjoyed hunting down human prey. He was aided by a time-travelling drone from the same century, which eventually whisked him back to its own time in a bid to protect him from the Temporal Security arm of the Human Polity senate. The game petered out, but involved a world that had gone through a drastic disaster in the 22nd C. which had almost wiped out humanity. I had ideas for some plot that involved time travel being responsible for the very disaster that encouraged its creation (harvesting genetic diversity). Just to say that player characters from Earth needn't mean leaving this world - as has been said you can shift through time to get the same effect as a fantasy world.
One last one which I played in many years ago was much akin to a
Neverwhere type story - that the world is actually much weirder and more fantastical than humans ever acknowledge or understand. The three PCs there were confronted by an horrific murder in impossible circumstances, that began to awaken our supernatural blood. We learned something of our magical roots - my own character became a member of a night-dwelling race of nightmare creatures, another learned she was a dryad, the third a hearth faerie. Great changes were taking place, as an ancient prophecy was fulfilled, and most of this took place against a backdrop where almost everyone else didn't believe in the supernatural, so getting help from ordinary people was nigh impossible.
The only one I haven't tried is to take an Earth PC and insert him/her into a D&D world. But maybe I will try it someday. I've certainly enjoyed the ones I have tried - in the hands of a good DM!