That's the premise of The Long Earth, the first installment (from 2012) of a series devised by British science fiction authors Terry Pratchett (the "Discworld" series) and Stephen Baxter (the "Flood" and "Northland" novels). And it's a pip!
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While focusing on the various social and political upheavals that stepping brings about, the book mostly follows it's main protagonists, young loner Joshua Valiente, a natural stepper, and a sentient artificial intelligence software (which can take human form) named Lobsang as they travel from one Earth to the next in a converted airship, the "Mark Twain". Though their main mission is to learn about the other worlds -and, by implication, other universes-, both Joshua and Lobsang realize there may be other kinds of life forms, some that may be dangerous...
I was somewhat concerned that the divergent writing styles of both authors might clash. Pratchett is slightly more disposed to whimsical fantasy while Baxter usually (especially in the Flood series) stresses hard science and brutal realism. But both men work well together; scenes of escalating tension on our Earth (referred to as the "Datum" Earth) and other worlds mesh well with the humorous give-and-take between Joshua and Lobsang (the latter's first appearance is a riot,BTW!).
The Long Earth is a solid, exciting adventure, with a knockout finale that you won't see coming and a very intriguing final scene. Add in some interesting supporting characters among the various steppers who go out to colonize the Earths, and you've got one very compelling narrative. And wait until you read the next installment, 2013's The Long War.. But that's for another post.
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