As someone mentioned being followed is an option, a character that dives vanishes from the real world but anyone that is near him and can see him can choose to follow (perhaps needing skill tests if the person goes farther than his DL). If he doesn't follow the target will simply fade.
And in that sense they do leave the physical world, although the first level or so might still be visible. On this note I'd like to add it would be an interesting addition to travel like this. Rob a bank, lock yourself in the vault, phase out, and leave.
As for the world beyond, I for one think it should be quite desolate. However some places, like cities may have ghosts, dreams or inner demons that lurk in them, kind of like beasts and animals.
Perhaps the lower levels, like 10 and beyond have strange travellers not all unlike us, but very alien still, that come from the other side, and thus dive 'the other way'. These would of course be nasty as hell should someone lead one into the real world, as their powers increase going that way.