The Iron Throne is the throne upon which the King of the Seven Kingdoms sits, located in the Red Keep in the city of King's Landing. The term is also used colloquially to refer to the government of the Seven Kingdoms and the authority of the King (i.e. "Rebellion against the Iron Throne").
In the books
In the Song of Ice and Fire novels, the Iron Throne was forged at the order of King Aegon the Conqueror. The swords of all the hundreds of lords who surrendered to him and offered him fealty were melted down into a throne of imposing size and appearance. It is reportedly uncomfortable to sit upon due to the blades that radiate out from it, occasionally cutting the incumbent.