The PCs are playing in a "normal" campaign and it slips into the domain of another campaign world. For instance playing in Toril, and suddenly the mists of Ravenloft envelop them or they find themselves a call of cthulhu esque setting, or were summoned as adventurers through magic to Eberron, or step through a portal to the Ghostwalk campaign setting.
How would I tell the players that their characters "aren't in Kansas anymore?"
Well, it depends.
If the change is not readily apparent (I'm thinking mainly Ravenloft here) go with railsdog's answer: start describing the little differences as soon as the characters notice them. Just the same you would do when they enter a tainted area of a wood, describe how the flora changed, the crooked trees, the spooky mist, the feelings of unease. The new place is not immediately recognizable as another plane, so not presenting immediate evidence is ok.
They start noticing as they go.
If the players are summoned elsewhere or travel through a portal, and this somewhere else is really different, do tell them right now. Pause them and describe the weird things now. Eberron? There's a friggin train with rails and all, and the city is totally different from the one you were before.
I've had a few experiences of the first type as a player, and several of the second kind while playing Planescape (or, as a DM, when playing Expedition to the Demonweb Pits...
...where a one-way portal to the marketplace of Sigil, with demons and angels quietly discussing while they walk and many other oddities, is found in a cave).
I would let them figure it out.
No different that any other unexpected planar shift. You need to figure out what the differences are and be prepared with appropriate descriptions of what does or does not happen. When the players try something and receive unexpected results, sometimes a simple "Nothing happens..." or "You don't feel the usual surge of magic associated with casting that spell."
Or they cast, something unusual happens, and you have them roll perception. That should be enough of a hint that they aren't in Kansas anymore.
I like to drop hints by giving specific information. For instance, in a previous campaign, the calendar had formal month names like "Philipmoon" and "Georgemoon", elided in common speech to "Phemmon" and "Jormon". In a different campaign, all it took was a couple of references to eg "the third of Phemmon" and they figured out that they were now in the world of that campaign. There's no need to beat them over the head with the information; just drop another tidbit now and then, and they'll figure it out sooner or later. (And feel great about themselves for noticing it, too.)
