The Lands of Always Winter is a colloquial and not rigidly-defined name given to the lands that lie in the furthest north of the continent of Westeros. They are so-named as snow falls in these lands even in the warmest summers. The wildlings control some of this territory, but it also extends into subarctic wastelands that are not hospitable to human life. These lands are said to lie north of even the Haunted Forest and the Frozen Shore, beyond the Wall. The White Walkers may originate in this region.
In the books
In the A Song of Ice and Fire novels, the Lands of Always Winter are mostly unexplored. They lie beyond the northern-most wildling kingdom, the land of Thenn in the northern valleys of the Frostfangs. The wildlings believe that the Others come from this region.