Well, or are they? Actually, there is one more place in the world renowned for its arches and weirdly fluted rock formations. That is Tassilli N'Ajjer National Park in Algeria.
Check ouf a few examples of what they offer, sprinkled throughout this post. As a fan of fantasy, I'm always on the lookout for unearthly or spectacular scenery with which to populate my fantasy worlds, but it is frequently driven home to me we really don't need to go to another world to get spectacular and unearthly scenery. (For yet another example, Talampaya National Park and neighboring Ischigualasto Provincial Park in Argentina offer yet another stunning example of similar scenery.) There is plenty of inspiration for fantasy worlds right here yet in our own world; plenty of unusual scenery, or interesting formations, or otherwise just bizarre and fantastic locations in which to set our fantasy stories of fiction or roleplaying games, either one.
Also: although scenery and setting is an interesting window dressing, it's important not to let setting get in the way of what's really interesting about fantasy. While there may be some small element of "travelogue" in the genre; the ability to explore a fantastic and fictional landscape, that's only a small element of good fantasy. Fantasy that loses sight of that and focuses too much on setting is fantasy that is much weaker as a result. That some elements of fantastic landscapes, either from the real world or from your imagination (although I still daresay that our imagination can rarely top reality in most cases---reality is really strange and wonderful enough on its own) but don't ever let that become the focus of our game. People don't play roleplaying games for the ethnologue or the travelogue. A little bit of that can go a long way.