The World

Sanctuary is vast. Most people who live in it never leave the region they were born in. What they know of distant lands comes from merchants, pilgrims, soldiers passing through, and stories that have been told so many times no one can vouch for their truth anymore. Take all of this accordingly.
The Western Kingdoms
Three neighboring nations share the forested heartland of the west: Khanduras, Entsteig, and Westmarch. They trade with each other, distrust each other, and share enough language and custom to get by. People from the Western Kingdoms generally consider themselves more civilized than the desert folk to the east, though this opinion is not universally shared.
Khanduras
Poor farming country. Most people here live in small towns or villages and work the land. The soil in the north is swampy and stubborn; the central regions are better but still modest. There are no great cities. Until very recently there was no king either, which suited most people fine.
A king did come, briefly: a foreign lord named Leoric, who arrived in the name of a southern religion and declared himself ruler. He seemed decent at first. Then he went mad, declared war on Westmarch for no reason anyone could understand, sent the army to its death, and started executing his own people. He is dead now. So is the kingdom, more or less. The town of Tristram (where Leoric made his seat) has been devastated by something that people talk about in hushed tones or not at all. Demons, some say. The work of dark powers beneath the old monastery. Whatever happened, Tristram is not a place people go to anymore.
The countryside is dangerous now. Things that were not there before have moved in.
Westmarch
Wealthier than Khanduras, and they know it. Westmarch has real cities, a proper king, a navy, and roads that are actually maintained. The faith of Zakarum (a religion of Light from the far east) is the state religion, and the church has real influence over daily life. People in Westmarch tend to be proud of their nation and a little condescending about everywhere else.
Relations with Khanduras were fine until Leoric’s war. Westmarch won it easily and has not forgiven the imposition. The coastal cities do brisk trade with anyone who can pay.
Entsteig
Heavily forested country north of Khanduras. Quiet, insular, not much talked about. They produce good timber and reportedly good bows. The warrior women of the Rogue order (the Sisters of the Sightless Eye) are said to hail from here or have deep roots here. Beyond that, most people in Khanduras couldn’t tell you much about Entsteig and wouldn’t have reason to.
The Desert: Aranoch
East of the mountains is desert, not a little desert, but an enormous, killing expanse of sand and rock that stretches to the sea. The Tamoe Mountains along Khanduras’s eastern border keep it out, mostly. A few mountain passes exist; the one near the Rogue Monastery is the main route east.
People cross Aranoch for trade, usually along the northern edge or by sea. Most who try to walk straight through don’t come back. Nomadic clans survive out there somehow; traders occasionally encounter them and report they are guarded and self-sufficient. On the far eastern coast of the desert sits Lut Gholein, a port city that has apparently figured out how to prosper in the middle of nothing by being the only sensible place to stop between east and west.
The East: Kehjistan
Across the sea from Lut Gholein lies a vast eastern land, old and strange. Most people in the Western Kingdoms have never been there and know it mostly through the goods and pilgrims that arrive from it. What they know: it is the origin of the Zakarum faith. It has jungles larger than any forest in the west. It was once the heart of a great empire, though that empire seems to be in trouble. Mages from Kehjistan have a reputation for being powerful and untrustworthy in roughly equal measure. The city of Kurast is its holy center, or was. Recent travelers say something has gone very wrong there.
The North
Far north of Khanduras, past Entsteig and beyond where most people have any cause to go, lie the Northern Steppes: cold, vast, and home to the Barbarian tribes. Barbarians occasionally appear in the Western Kingdoms as mercenaries or travelers. They are large, formidable, and private about their homeland. Common knowledge holds that they guard something in their mountains; what exactly is not something they discuss with outsiders. The mountains themselves are said to be enormous, snow-covered, and deeply inhospitable.
Heaven and Hell
Most people believe in both, in the way people believe in things they cannot see. The Zakarum faith teaches that there is a war between Light and Darkness being fought somewhere beyond mortal sight, and that righteous living is the only defense against the dark side winning. Other traditions say similar things in different words. Whether any of this is literally true (whether there are actual places called the High Heavens and the Burning Hells) is the kind of question that priests answer with certainty and everyone else debates quietly.
What is not debated, in Khanduras at least: something came up from under the monastery at Tristram. Whatever it was, it was not a man, and it was not natural. The people who survived it are not inclined to call it metaphor.
The world is larger than any one person’s experience of it. Most of what you know came from someone else, who heard it from someone else. Treat it accordingly.