Beyond the Wall is a generic term employed by the people of the Seven Kingdoms to refer to the large area of Westeros that lies north of the Wall. It is the only part of the continent that is not part of the realm, and thus the only place where particular attention is given to the difference between "Westeros" (the continent), and "the Seven Kingdoms" (the realm to the south of the Wall ruled by the Iron Throne).
It is inhabited by tribes that refer to themselves as the "Free Folk", known by the people of the Seven Kingdoms as wildlings. The wildlings themselves are not politically unified but consist of numerous and diverse groups. Many are semi-nomadic hunters, due to the impracticality of agriculture in the far north. Some wildlings are little more than savage and primitive raiders, but other groups live in small settled communities and villages.
The Free Folk sometimes refer to these lands as "the real North", because they are actually located north of the northernmost of the Seven Kingdoms, which is named simply "The North" - and they think it odd to say that "the north" is south of where they live.
The lands Beyond the Wall are mostly uncharted. The region immediately north of the Wall includes the Haunted Forest, a vast taiga-forest which covers most of the area, extending from the Wall to the furthest uncharted north.
The forest extends from the eastern coast to a large mountain chain in the west known as the Frostfangs. The Frostfangs extend an unknown distance to the north and are quite inhospitable. However, there are rumors that even the northern Frostfangs contain hidden valleys, heated by volcanic activity, which are actually the most hospitable regions north of the Wall, and heavily settled by the wildlings.
Southwest of the Frostfangs there is a narrow strip of land between the mountains and the sea known as the Frozen Shore, a harsh area inhabited by fierce and primitive warriors who frequently cross the Bay of Ice to raid the lands in the North sworn to House Stark. This small area is totally enclosed by the Frostfangs, which run southeast to northwest, and the ocean.
Beyond all of these areas, in the furthest north are the Lands of Always Winter. The forest ends and gives way to these truly polar regions, which are unexplored. The White Walkers are rumored to originate in the depths of the Lands of Always Winter.