Unstable space. You're walking along the demiplane, the plants and animals get a little sparse, the air becomes thin, and without warning- pop!- you're shunted out into the astral plane, or whatever plane the demiplane is built on.
I like the misdirection of fog or mazes that turn people back where they came from, until high-level divinations enter the equation. I don't like physical barriers at all because these are normally things PCs overcome, and logically you should be able to see something that reaches forever into the sky from just about any distance. When you get into nonphysical barriers, it strains the suspension of disbelief. A PC touches the nothingness, what happens? It's not a wall, it has no substance, but you can't reach through it either, it has no space. It's not black, it has no observable qualities. It's not cold, it has no temperature. It just.. isn't.
So, unstable space.