The Kingswood is a forest in central Westeros. It begins in the Crownlands immediately south of King's Landing and extends into the Stormlands. The Kingsroad passes through the Kingswood as it runs from King's Landing to Storm's End. The Roseroad meets the Kingsroad within the forest.
Twenty years prior to the events of the series, an outlaw band known as the Kingswood Brotherhood took up residence in the Kingswood, led by Simon Toyne. They caused significant problems before the Mad King sent a small army to root them out. Ser Barristan Selmy slew Simon Toyne with a counter-riposte, impressing the fifteen-year-old Jaime Lannister (who killed his first man during the battle, beheading him).
In the books
In the A Song of Ice and Fire novels, the Kingswood is a extensive, large and deep forest with many small villages located within its eaves.