Choose Your Own Adventure books:

From Wikipedia: "Choose Your Own Adventure is a series of children's gamebooks first published by Bantam Books from 1979-1998. Each story is written from a second-person point of view, with the reader assuming the role of the protagonist and making choices that determine the main character's actions in response to the plot and its outcome...After an introduction to the story, the reader is asked to determine the protagonist's next course of action. After the reader makes a choice, the plot branches out and unfolds, leading to more decisions and eventually multiple possible endings."

The Setting:

The world this story takes place in, along with countless others, are grouped together under the control of two sets of gods. The Gods of Life rule over the creation of souls, while the Goddess of Death assists souls in reincarnation. The Goddess commands a horde of soul reapers to assist in the collection of the thousands of souls that must pass through to the soul stream every day. The soul stream is where souls await to be reincarnated.

Every world is monitored by two areas in the underworld - the Library and the Observatory. Both areas allow travel between worlds, but their purposes in protecting the worlds differ. The Observatory tracks the status of each world, making sure that data is constantly being collected. If any data is missed, the Library is notified, so that the caretaker there may travel into the world and collect the missing data.

It is usually impossible for a normal being to travel between worlds or access the underworld or the heavens. The walls between worlds are tough to break. One must have the strength of at least a lesser god to even attempt to force travel between worlds. Those with ill intentions who travel between worlds are doomed to be struck down by the gods themselves.