There are different types of fantasy: Dark Fantasy - usually includes vampires, werewolves, and other stuff to do with blood-letting. Modern Fantasy - like Laurel K Hamilton's Anita Blake stories, where the story appears to be set in the America of today, yet there are differences; vampires, ghouls etc.
High Fantasy - seems to be the appelation for stories of magic, elves, scorcerors and dragons, usually set in a medieval era.
Then there's Alternative Fantasy - where everything is set on another world, where the sky may be different, the normal physical rules of our world may be suspended and replaced with different rules, the people may not even look like people.