Same here, Cloud Atlas and Dark Tower(Stephen kings universe) Immediately came to mind.
Though Cloud atlas had to do with history repeating in loops and how the events of those past loops/events impact on the future. Nothing really parallel in it.
On the other hand Stphen kings works are literally parallel worlds(pet cemetery,shinning, it,etc) where the creatures & energies migrate between realities via the nexus / doors depicted in the "Dark tower" books. Come to think of it the entire corpus of books Stephen king has put out has the over all structure it sounds like the OP is looking to write.
(even though the events, protagonists, etc will obviously be different)