Basilisk Isles

The Basilisk Isles are a large island chain off the northern coast of the continent of Sothoryos, south of Slaver's Bay and Essos. One of the few mapped portions of Sothoryos, they are in the extreme south of the mapped world known to the inhabitants of the Seven Kingdoms of Westeros. Asshai and Yi Ti are rumored to be even further due east, but they are unmapped.

Season 1
Eddard Stark warns Cersei Lannister to flee with her children while she can and as far as she can, because when King Robert Baratheon finds out that they are all bastards born of incest and none of them are his children, his wrath will follow her to Asshai or the Basilisk Isles.

In the books
In the A Song of Ice and Fire books, the Basilisk Isles are the same. To the south lies Zamettar, in the Sothoryos mainland, to the east Ax Isle and to the southwest, the Isle of Toads.