Socially Inept Butterfly
If you want to enter Astral remember this:
Nothing there can physically hurt you, and you can always head back to your body with something as simple as a thought. So there's nothing to be afraid of.
Wait, why is "nothing there can physically hurt you" reassuring? There's a lot to a person that isn't physical.
wink Dojo:
There are many dangers when you walk the hedge. You can actually get lost (that's why shamans learn soul-retrievals). You can leave a part of yourself behind (so try not to snap back if you can possibly avoid it). If you trespass or piss something off, they can actually harm you.
So wherever you go, be respectful. Learn how to shield so you can try to protect yourself if you have to. Never expect that people you meet will help you or what to help you; many will, but others are going about their own business.
Find a guide. Guides are good. They'll help protect you if something bad does happen (it's fairly uncommon but nevertheless), they'll help you understand the etiquette involved, and wherever they lead will be a place you're allowed to go. The person you ran into may have been a guide, or may not. Either way, they were helpful and took you back. I'd interpret that as you being in a particular place that perhaps you shouldn't have gone rather than being between worlds in general.
I mean, you can't turn up at the gates of Asgard, for example, and expect to get in. Invites only, etc etc. The Underworld is much easier to access and much safer in general, but still you should be aware that not everyone there wants to interact with you.
If you're interested in this sort of thing I highly recommend "Exploring Shamanism" by Hillary S. Webb. A very intelligent book. It's directed at beginners but goes surprisingly in-depth and is one of my favourite books on Paganism.