In His Dark Materials, there are many different places that the characters visit and explore. The most important places are in a world called "the multiverse", which means it's a world with many different universes, some of which are parallel to each other.
The story is mainly set in three main universes, which are the human world (where people who read the books live), the world of the "daemons" (where animals have human-like souls that can speak and move around), and the world of the "mulefa" (a world where animals are similar to us, but with wheels instead of feet).
The characters also visit many other interesting places within the multiverse, such as a mysterious world filled with machines called "The Land of the Dead", and a world made entirely of water called the "Sea of Tears".
Overall, His Dark Materials takes you on a thrilling adventure through many different and wonderful universes, filled with strange creatures and incredible places.