Shadow Lands

The Shadow Lands are a location on the continent of Essos, located thousands of miles far to the east of Westeros and even the Free Cities, beyond the fabled land of Asshai.

Season 1
Ser Jorah Mormont tells Daenerys Targaryen that the Shadow Lands are said to be covered by 'ghostgrass', a form of grass that, in Dothraki mythology, will overrun the green grass of the Dothraki Sea and spell the end of the world.

In the books
The Shadow Lands lie 'under the Shadow', though what 'the Shadow' is has not been revealed in the first five novels.