Deliver a sting in your tale
Phantasm and the movies of David Lynch are the only works who can get away with the "it was all a dream" twist because in those works, dreams are every bit as "real" as reality.
It's been a while since I last saw it but Pans Labrynth has an interesting twist, in that all the fantasy elements are in fact real. I always took it differently, and believed that the fantasy world was her self-constructed escape from the horror of reality, and the "happy" ending was her death. I believe Del Toro himself confirmed the former, but it's presented in such a way that it allows the viewer to apply their own interpretation.