A while back I did a series of posts on why I find myself drawn to stories where something is monstrously large--an impossibly large castle; a tree the size of a city; a mansion big enough to have many cultures within. Even the ribcage that surrounds the city of New Crobuzon in China Mieville's three Bas-Lang novels fits in here. Maybe especially that. I'd meant to do one more post on that topic, but never got around to it. I posted that it was simply something different, that it's a way of belonging yet not fully to the tradition of speculative fiction, and that it's a fantasy counterpart to SF's sensawunda.
As alluded to in that last post, this last one is the sense of wrong-ness that undermines the awe of big things. I was reading Danielewski's House of Leaves a few months ago, and one of Zampano's footnotes discusses the aesthetics of the uncanny. It apparently comes from Freud, and in German the various words translated as "uncanny" (the main one being unheimlich or literally "un-home-like") all have a root or connotation of something that's gigantic.
Given the way House of Leaves works, I can't say for certain that this claim is true, but it fits with what I'd been sensing about these kinds of stories. It's the juxtaposition, that sense of awe-and-yet-wrong-ness. Those two things working together, I think, is what gives these kinds of settings a strong power. Setting alone is not enough to make a great story, of course, but it's often the first thing that draws my attention.