Part of the romanticism was the genuine mystique; it was still an uncrossed and largely unknown frontier region to the Victorian Europeans. But a big part of it is that Sub-saharan Africa has the best preserved megafaunal assemblages of anywhere else on the world. Megafauna refers to the idea of large-bodied land animals, and the megafaunal assemblage is therefore the entire set of large, terrestrial animals in a given region. This meant that there were a bunch of big, dangerous, exotic, and just plain cool animals in Africa that people just didn't see anything like in other places. Lions were largely extinct everywhere else but Africa by this point. Elephants. Hippos. Crocodiles. Hyenas. Zebra. Scads of different antelopes. Leopards. Monkeys. Gorillas.
The list goes on and on.
However, what many people don't realize is that most of the world had equally impressive (and "exotic") megafaunas not that long ago, and only recently have many of those megafaunal representatives gone extinct, leaving the existing megafaunal assemblages impoverished. If we were to go back to the Pleistocene, some 10,000 years ago, the megafaunal assemblages of Europe and North America (and South America, and Australia, etc.) would look very different than they do today. And you may not even need to go back nearly that far; there's a lot of tantalizing hints that many of these animals may have survived longer than we give them credit for. And even historical records talk of lions, tigers, leopards, aurochs, wisent, and more living within the boundaries of Europe.
But I live in North America the North American Pleistocene megafauna is my favorite. Not only do you have all of the large animals that live here today (brown bear, black bear, various deer, elk and moose, pronghorns, bison, wolves, coyotes, puma, wild pigs, etc.) but you can add back in several species of horse, ass or other equine species (Scott's Horse, Yukon Wild Ass, Hagerman's horse, or Hagerman's zebra, etc.), several more species of pronghorn, another species or two of bison, wooly and Columbian mammoths, mastodons, more than one species of saber-tooth and scimitar-toothed cats, the American lion (25% larger than the largest specimens of Africa, believe it or not), the massive short-faced bear, the giant polar bear, the dire wolf, giant condors and teratorns, several species of giant ground sloths, several species of camel and llama, and even a puma relative that had a cheetah-like morphology or body plan (and presumably hunting style and top speed to match.)
I bring this up because it's typical in fantasy to want to populate the countryside with various monsters and whatnot. I don't think that's strictly necessary. I prefer my monsters to be unique creatures, more often than not. There's no "ecology" of the owlbear in my campaigns; if an owlbear shows up at all, it's an unusual and bizarre creature, not a "species." Rather, I like having a diverse and real megafauna. Besides, who said that big lions and short-faced bears can't be plenty scary on their own? The Ghost and the Darkness certainly demonstrated that convincingly. Especially for me; where I like to keep the power level and assumptions down to a more realistic level, dangerous animals remain dangerous to humans, no matter how much experience they get.
My Mezzovian Sea setting, therefore, will be assumed to have a Pleistocene North American megafauna. If you wander out into the wilderness, be prepared to worry about dangerous packs of dire wolves, prides of giant lions, and bullying short-faced bears who can casually decapitate you with one lazy swipe of a paw. Be prepared to hunt bison, horse, deer, pronghorns, or even giant camels. The civilizations in the area will have domesticated local horses, asses, maybe even have herds of semi-domesticated bison, camels, and even elephants, i.e. Columbian mammoths.