It is an alternate time-space existence called a "pocket dimension" with the name "the Demiplane of Dread", which consists of a collection of land pieces called "domains" brought together by a mysterious force known only as "The Dark Powers". Each domain is mystically ruled by a being called a "darklord", which is a person or monster who has committed an act or acts of evil so foul as to attract special attention from the Dark Powers. The darklords are imprisoned within the borders of their domains and cannot escape by any means, although most can seal their domain borders with a thought. Within their domains, the darklords are forever tormented by the objects of their desire (often the objects they committed their crimes to achieve), which the Dark Powers dangle before them like the fruits of Tantalus. Each darklord's desires and motivations differ; some desire love, others hunger for glorious victory, or one might envy the defeat and humiliation of their enemies like another rival darklord.
Getting to The Demiplane of Dread
Most unfortunate souls who manage to find their way to the Demiplane of Dread, particularly Ravenloft, either never find their way back, or never wish to speak of it when they do. One rare survivor of the experience, a plane-hopping swashbuckling Gnome Bard by the name of Taniachis sin Siroccio, actually did speak of his travels on the demiplane, and frequently. A lot of established Eberronian knowledge about the demiplane relies entirely on his testimonies, which could possibly have been embellished in the spirit of storytelling.
Taniachis claims that he entered the demiplane when travelling through Karrnwood, which seems fitting with all of the gloom and dread that permeates Karrnath. He came upon a patch of woods that was so thick with fog he could not see his own hands. After pushing forward for what seemed like hours the bard emerged in the foreign Demiplane to see a town under siege by undead. His adventures in the demiplane are chronicled in The Grim Adventures of Taniachis the Amazing, a self-published tome.
Other ways to enter the demiplane have been reported, but can not be confirmed. The Demon Wastes, The Shadow Marches, Karrnath and Darguun all seem likely candidates.