The worlds of D&D are part of an immense cosmos. Most campaigns and adventures play out on worlds on the Material Plane. The rest of the multiverse consists of different planes of existence defined in relation to the Material Plane.
The planes of existence are strange and often dangerous environments undreamed of in the natural world. Adventurers can stroll along streets of fire, test their mettle on battlefields where the fallen are resurrected with each dawn, and behold the terrifying majesty of the Lady of Pain as she floats above the streets of the ring-shaped city at the center of the multiverse.