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 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 the Thenns in the northern valleys of the Frostfangs. The wildlings believe that the White Walkers come from this region, but even the northernmost wildling tribes have little if any knowledge of the region - as few who have ventured so far north have ever lived to tell about it, if only due to the deathly cold temperatures.