Ross Douthat investigates via an essay by Michael Weingrad, who takes up the question, “Why are there no Jewish Narnias?” Douthat, who links to the Weingrad essay from his blog entry (which I’m trying to get you to visit), writes:

[Weingrad’s] answers seem plausible, and interesting. Fantasy novels tend to involve re-workings and re-imaginings of the medieval and ancient European past, and they’re often shot through with nostalgia for agrarian communities, chivalric codes of social order, and pre-modernity in general. These conceits, Weingrad notes, “are not especially welcoming to Jews, who were too often at the wrong end of the medieval sword,” and who are more likely — for obvious reasons — to be “deeply and passionately invested in modernity.” (This explains, he suggests, the obvious Jewish influence on the science fiction genre — and, he might have added, on superhero comic books as well.)
At the same time, reflecting their medieval roots, fantasy novels tend to draw on a kind of Christian-pagan synthesis, which supplies their authors, and the secondary worlds that they create, with rich and teeming mythologies. But Judaism, Weingrad argues, tends to be much less mythologically-minded than the Christian tradition: “Christianity has a much more vivid memory and even appreciation of the pagan worlds which preceded it than does Judaism,” and a greater comfort with supernaturalism and fairy tales in general.