Thedas is the continent is which the Dragon Age franchise takes place. Dragon Age: Inquisition will span much of Thedas, returning to previously seen areas in other games and new areas that haven't been explored for centuries.
Dragon Age: Origins takes place entirely in Ferelden, however there are other countries are mentioned, such as the nation of Orlais that once ruled Ferelden, the memory of which is a large part of Teyrn Loghain's motivations throughout the game, and Zevran's home of Antiva; these nations are mentioned either by the game's characters, or in the many texts the player can find throughout. There are also some hints at land beyond the main continent that are shrouded in mystery.
Dragon Age II takes places in The Free Marches, specifically Kirkwall. Kirkwall is separated from Ferelden by The Waking Sea. Thousands of Ferelden refugees flee there after the 5th Blight begins in Origins. Kirkwall has been conquered many times over the years by opposing factions like The Qunari and The Chantry.
More of Thedas is explored throughout various Dragon Age media.