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Where there are demons there are usually their opposing numbers, assuming the world isn't completely crapsack, and occasionally they will have a physical base on Earth. Much rarer than its malevolent counterpart, as heaven doesn't usually come up as often as hell in stories, due to not being quite as obvious a target for those pesky adventurers. (Though considering how much fun heaven can be to fight, this is a shame.)
Many mythological settings had physical heavens, the tops of Mount Olympus being the supposed homes of the Gods. So physical heavens are more common in mythological settings.
Unless humans have found a way of shifting planes, this is a requirement for a Rage Against the Heavens plot.
- JRR Tolkien's Middle-earth legendarium (The Silmarillion, The Lord of the Rings, etc) has the continent Aman in the West with the land Valinor, which is the realm of the Valar (divine spirits made by the creator god; think angels or minor gods) - or at least it did until the Second Age, when Iluvatar reshaped the world into a sphere and Valinor became accessible only by elven ships capable of sailing the Straight Road off-world.
- In The Other Wind, an Earthsea novel, the Heaven in the West is...in...the West.
- Princess Maker 2 has a physical heaven to match its Physical Hell, but its guarded by the war god. Considering he can be beaten by a thirteen year old potentially, forcing the Gods to raise the drawbridge (or rather, make it disappear) he's probably not very good at his job.
- Age of Mythology has Arkantos' son wrecking heaven. Well, the Greek equivalent.
- In Diablo 2 you're sent to Hell in order to kill Diablo. And you find out that the forces of Heaven have a fortress set up there and in fact have a few Angels patrolling the place trying to keep things under control. Care to guess how that turned out?
- Diablo III's fourth act has you battling demons in the High Heavens themselves to stop them from destroying everything.
- Scribblenauts: Just as how you can summon schools and museums you can actually summon Heaven. Interacting with it produces a God. Physical Hell also exists.
- In the Minecraft mod The Aether, you can enter the Aether 'dimension' through a portal. Doesn't seem like it fits this trope, right? If you fall from it, you end up in the overworld. Even if it is technically another dimension in the game engine, it's right above your head. Except it isn't when you actually build up there.