The Kingdom of Termina is the area where Link ventures off to in The Legend of Zelda: Majora's Mask and The Legend of Zelda: Majora's Mask 3D. This is the only appearance of Termina so far. There are fans who are unsure if Termina is simply an alternate dimension of Hyrule (because they have the same villagers with different names) but the games imply that Termina is an existing Kingdom. Nintendo just didn't want to make new character models for the villagers, I guess. Despite being singificantly far away, Termina shares many of the same traits and races as Hyrule. Instead of Hyrule Castle, the focus of the kingdom is the central Clock Town, where many of the Hylian inhabitants live.
Oddly enough, high above Termina is a small, angry, scary Moon.