When people talk about "Having the Best of Both Worlds", where is the other world that they are talking about?

The best of both worlds…

The word “both” implies that there are two worlds.

I figure it is safe to assume that the world where we all live is one of those two.

So where is the other one?

Is the best of that world of the same quality as the best of this world?
Unless you were just plain greedy, why would you want the best of both worlds?
Why not be happy with the best of this world, since you know where it is?