Other related conceptual entities, such as D'Spayre, often journey there while the Great Fear himself sleeps, to draw his power to supplement their own. That realm is accessed through magic.
Jane Foster was locked into this room to face the Unknown, to see if she had the courage to be amongst the gods. However, Jane was horrified by the creature and cowered away from it in utter fear, forcing Thor to come to her rescue and fight the monster off.
The Halls of Fear were the base of operations of the Fear Lords.