Thirding Moomin Valley. Totally agree on Miyazaki - he is very, very good at creating a sense of place. Tekkonkinkreet is a cool pick too. I guess I should get around to reading the comic one of these days.
Also:
Twin Peaks. Interesting take on the dark side of humanity in a town near the woods, lots of interesting characters. Too bad about (most of) the second season.
Little Nemo in Slumberland!
Under Milk Wood. Created totally with words. More about the characters in the place, but you get a good sense of the village.
Jim Woodring's Frank - the environments in these are amazing. All from one brain.
http://www.jimwoodring.com/Alice in Wonderland. I mean, come on.
Flaming Carrot Comics - Iron City is an awesome blend of the mundane and the unreal.
Moebius created a lot of rad environments.
The Neverending Story - the book is really great and the movie doesn't come close to capturing that.
Brian Froud's work on The Dark Crystal and Labrynth should not go unmentioned.
Sesame Street! I'm serious. Fraggle Rock too.
Barbarella - this is an awesome movie and has rad locations/set design. The 1980 Flash Gordon is kind of similar too.
Judge Dredd's Mega City 1 is pretty cool in a lot of ways. Often depends on who's writing it.
In the Realms of the Unreal - a massive story/world created by a very, very strange man called Henry Darger that was discovered only when he was on his death bed. There's a great documentary on it:
The Lovecraft Mythos. Portrayed a weird version of New England in an awesome way.
Lego! I remember looking at the catalogs when I was a kid and being pretty amazed by all the stuff. They had at least one that was like a photocomic, following the adventures of two characters through the lego world. No words, just pictures.
Puff n Stuff (sp?) - Sid and Marty Croft's masterpiece. Well, I liked it when I was a kid.
EDIT: Dr. Seuss' various works
Where the Wild Things Are/In the Night Kitchen
The Little Prince.
There are a bunch of cool things.