In order to go to certain worlds, one member of the gang must stay behind while the others search for the feathers. In each "missing world", the rest of the members run across the counterpart of the person left behind. The adventures start out light, but become steadily darker as the story goes on...
The Missing Worlds contains examples of:
As Long as There is Evil: The magical serpents in the water world are made up of humanity's negative emotions, such as anger, fear, and jealousy. Thankfully, they have spent most of their time in a vast ocean that cancels out magic, leaving them impotent.
Bittersweet Ending: Both Fane and the Black Beast escape their miserable situations, but Fane is completely mad and the Beast is an old man now. A stinger scene at the ending implies that the two will meet each other, and Fane uses the enchanted apples he tried to use on our heroes to bewitch the Beast. On one hand this means neither of them will be alone and the Beast will regain his youth, but he's escaped one spell only to fall right under another.
Blessed with Suck: The Black Beast was once a human warrior and Kurogane's counterpart, who was blessed by his priestess that his strength would increase every time he killed, in contrast to Kurogane who was cursed to become weaker every time he killed. Unfortunately, the spell had some very nasty side effects over time.
Crapsaccharine World: The third world they visit is a beautiful, verdant countryside filled with flowers, picturesque houses and an amazing fairytale floating castle in the sky populated by magic servants and a handsome prince. Too bad everybody else in the world is dead.
The Caper: Our heroes spend most of the second world planning an elaborate heist to steal the feather out of the vault of a miserly, paranoid merchant.
Go Mad from the Isolation: Fai's counterpart, after accidentally killing everyone else in his country. It's not doing the Black Beast any favors, either.
Our Mermaids Are Different: The water world is populated by merfolk with tails twice as long as the rest of their bodies. A merperson's scales are the same color as his or her hair, and can be mottled and patterned.
Power Nullifier: The ocean in the water world prevents magic from being used.
Sealed Evil in a Can: The evil magical serpents were sealed away by the magic-neutralizing ocean until Sakura's feather woke them again.
Who Wants to Live Forever?: Fai's counterpart accidentally became immortal in a spell gone wrong, and it has driven him mad.