Back in the day, the folks at TSR actually did a breakdown of how this happens per setting.
On standard D&D worlds (Greyhawk, Forgotten Realms, Dragonlance, Mystara, Birthright, and Eberron), it happens just as BahamutZ3RO described above: a bank of thick fog rolls in around the PCs and when it clears they're in Ravenloft.
Characters in the Dark Sun setting have a different scenario. Since Athas is a hot, dry world, there are no banks of fog. Instead, Athasian PCs see shimmering mirage of vast stretches of water. Even if they attempt to move away from the mirage, it overtakes them and they all succumb to heat stroke. When they wake up, they are in Ravenloft. (This scenario could conceivably happen in any desert in a "normal" D&D world as well.)
Finally, characters traveling in Wildspace in a Spelljammer campaign are not completely safe, either. In space, the Mists of Ravenloft take the form of a jet black cloud that appears in front of the spelljamming vessel. Spelljammer characters do have one way to avoid the Mists: the phlogiston, which blocks all forms of planar travel.
Barring that, there are a few other, less used ways a person could get to Ravenloft. Some worlds have permanent one-way portals into Ravenloft (such as the dungeons beneath Castle Greyhawk on Oerth or in the ruins of Xak Tsaroth on Krynn).
Lastly, there are occasionally conjunctions. These are a rare occurrence where part of the lands of Ravenloft temporarily replace a portion of the land of a Prime Material world.