I've written a couple of posts in the past on philosophical themes in Tolkien (Incidentally, there's a thread going at the Philosophy Forums/Online Philosophy Club discussing philosophical themes in Lord of the Rings right now), and had fun going off on the supernaturalism tangent on our last episode, even though I don't see the force of Wes's objection to Harry Potter over the "magic" used in, say, an action film. So long as you set up the rules enough so that the reader/watcher understands enough, then you can have suspense/drama. I read the Oz books to my kids (yes, there are many more than one), and though they're very creative, there's pretty much no suspense at all, though that may have more to do with the tone of the books than to how the magic is unexplained or inconsistent.
In general, I buy into the fantasy theory (maybe I heard this from a Stephen King article? or an article about him? I can't recall) that more explanation is not always helpful; leaving something mysterious means we fill it up with our darkest fears and deepest yearnings, whereas laying it open makes it mundane and potentially not that cool (witness Dylan's fury re. midi-cholrians). With all these supernatural elements, I think the trick is to artfully match the detail exposed to these competing audience needs (to understand what's going on and so feel invested vs. having the magic elements remain magical). This is not inherently a futile enterprise; the conflict is not grounds for dismissing the genre as such.
OK, so why do we as philosophy enthusiasts care? Is it just a matter of a surface-level aesthetic similarity between the weird ideas in philosophy and the weird ideas in fantasy/sci-fi, and relatedly, a tolerance in the reader for something beyond the everyday? The capacity for writing philosophical/social thought-experiments into vivid stories, or directly exploring possibilities re. the metaphysical state of the universe? I've generally noted a correlation between interest in philosophy and other "geek" interests, but also know a number of people who take their philosophy as more generally an outgrowth of culture, of mainstream artsy literature and "serious" music and all that. The difference may come down to different attitudes towards adulthood.
Certainly my own tolerance for the genre extends beyond sci-fi or fantasy that could be considered substantially philosophical. Any story with some element of the fantastic has always had an aesthetic appeal to me, or rather, if I know for sure that a story will for sure stick only to the facts of the realistic world, then it has to work harder to interest me. True stories, and moreso made-up stories that might as well be true, very often read like biographies or histories, which will only be as interesting as the person or historical period or events were. Too many "slice-of-life" stories seem to me to be more like watching the neighbors go about their daily, boring business... or worse, watching the neighbors grieve over their dead child or endure the Holocaust or succumb to various strains of corruption and discord. There's certainly a strong humanistic purpose to enduring such depressing scenes, but it's rare I'll actually become a fan of such work.