1. Sometimes referred to as a frame story.
Bookending
A technique for ending a writing piece, in which an idea that was brought up earlier in the piece is returned to at the end. Helps create closure. 
Sometimes referred to as a frame story.

2. The Princess Bride
The Princess Bride- The story starts with a grandfather reading a story to his sick grandson.  The actual movie is the story, but every once in a while the “bookend” or “frame story” is reintroduced.  The movie ends with the grandfather and the boy finishing the book.

3. Wizard of Oz
The story begins with a tornado in Kansas.  Dorothy is knocked unconscious and awakens in the land of Oz.  The story ends with Dorothy awakening from a dream back in Kansas.