Lhazar is a peaceful country of sheep and goat-herders, located south of Vaes Dothrak on the continent of Essos. Its people are not war-minded, and frequently face raids and attacks by the Dothraki. They worship a deity known as the Great Shepherd.
In order to raise money to finance an invasion of Westeros, Khal Drogo's khalasar raids a Lhazareen village for slaves and plunder. As Daenerys Targaryen rides through the streets she sees the Dothraki looting its homes and raping its women. Horrified, Daenerys starts claiming women to keep them from being raped. The unhappy men take their claims to Drogo, who is at the temple of the Great Shepherd, sitting by the altar with a pile of severed heads by his side. At first he tells her this is the way of war, but Daenerys' fierceness amuses Khal Drogo, and he ends up telling the men to find other women. This triggers a challenge to Drogo's leadership from another warrior, Mago, which he defeats with ease, though he takes a small wound to his chest. Amongst the women of the village that Daenerys rescues is a maegi, Mirri Maz Duur. Grateful to Daenerys for her protection, Duur agrees to treat Drogo's wound.
However, as the khal moves southwards from Lhazar, the wound festers and Drogo slips into a fever from which it is unlikely he will recover. At Daenerys's urging, and to the horror of the other Dothraki, Durr agrees to use blood magic to save Drogo. Duur saves Drogo, but only at the cost of the life of Daenerys's unborn son. Drogo is also only restored to life in a mindless stupor. Duur tells a furious Daenerys that Drogo destroyed her village and despoiled her temple, and she is glad to take vengeance upon him. Daenerys has Duur executed by being burned alive.
As Daenerys' small band of remaining followers make their way through the desert of the Red Waste, she asks Ser Jorah Mormont of there is no safer way. He responds that if they go back south to the land of the Lhazareen, they will kill her and her khalasar and take her dragons.
In the books
In the A Song of Ice and Fire novels, Lhazar is located southeast of Vaes Dothrak and north-east of Slaver's Bay, upriver from the slave city of Meereen. The Dothraki enjoy raiding the Lhazareen, as they are not a martial people who can put up much resistance, and any slaves they take can be relatively quickly herded downriver to Meereen and the slave markets. The Lhazareen are disparagingly called the "Lamb Men" for their lack of martial culture.
Lhazar is located predominantly between two upper arms of the Skahazadhan River. However, Lhazareen villages and settlements are located around the surrounding area, including in the edges of the Dothraki sea and the Red Waste to the south. The Khazai Pass links Lhazar to Meereen.