I'd say that, at least in part, you should determine how much of a "fish-out-of-water" you want the character to be. In the examples of possible settings you gave, each has a different ability to comprehend their situation, especially at the start.
If the human was from either a modern or even slightly futuristic setting, they would be able to understand on a conceptual level about the intelligences/aliens/whatever they are, whether or not it is the correct view. Still, they would be able to handle the knowledge of their situation on a base level, and deal decently enough aside from any personal conflicts with what was happening with them.
On the other hand, a human from anything set before... I don't know... late 1800's/very early 1900's? would barely be able to acknowledge the existance of things on that level. Even if he/she did, it would be more in the way of thinking of the entities as gods, demons, and spirits, especially considering what you described them to be. Depending of how religious the person is, they would react certain ways that a more modern person would not, or at least not to the same degree.
A fantasy-based setting has the same problem, only taken in a somewhat different manner. In Middle-Earth, there are supernatural powers, but they're mainly associated with elves and wizards. Like in the previous situation, the human would likely think the intelligences to be some sort of demon or spirit. Being that the world here has more of a general spirituality rather than actual religious dogma, they would be... more adaptable, but most likely just as out of place.
These have been working with the assumption that the intelligences are aliens in science-fiction sense. You could, however, do a bit of a switch-around: In a less technologically advanced setting, the intelligences could be aliens masquerading as magical or divine/demonic beings. And in a modern/futuristic setting, they could actually be spirits putting themselves forward as aliens, just because that's what humans would "believe" more.
But, all in all, I'd say you'd be best off thinking of how you want the protagonist to end up reacting, and then create the setting based off of that. Since the story will be more about the actual character than where their from (except at the points you mentioned where he/she ends up returning), the world he/she comes from can be tweaked to fit your needs.
Nathan Huss / Wakoid2@aol.com / ICQ# 160807259
"They can tak' oour lives but they canna tak' oour troousers!" -Wee Free Men
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