Rule number 1:
It has to be real
I have to be able to believe in whatever the creation is - its made up but has to be absolutely real, the characters, the setting the way things work. This is why so much fantasy just does not work. Middle Earth is an incredible setting because Tolkein obsessed over so much of the detail that its almost as real as history except that just happens to be made up. Conan is such a vivid character that it dosn't matter that his capabilities are well beyond human limits because he is hyper real.