Years ago I began reading Stephen King's Dark Tower series. When I first started reading them there were only the first three books. The third book ended with a cliff-hanger and it was years before King returned to the series to finish it. I recently picked them all up on CD from the library and listened to them again. Revisiting the series made me wish there was more. After a visit to the comic shop I found graphic novels retelling portions of the story with amazing artwork.
My point in bringing this up is the series shares some similarities with Malifaux. The main character Roland is a gunslinger, which in his world is the equivalent of being a knight. On his quest to bring his father's killer to justice he travels through his world which has "moved-on" and eventually passes through to different time periods in our world to recruit other "gunslingers" to join his quest.
I'm not going to go through the whole series as the wiki covers it pretty well. The western theme as well as the numerous "breaches" into other worlds will appeal to fans of Malifaux and I urge everyone to check it out.
King also uses the breaches between worlds in "The Tailsman" I didn't enjoy this book nearly as much but it was an interesting story. It focuses on a young boy that travels into another world and has to save his mother from an evil man that works in both worlds.