It is a vast icy wasteland. It is home to the Frost Giants, though polar bears, Snow Sprites, and pine trees also live there. They had a war with their neighbors. The Dark Elves sent Surtur to their realm where he was defeated by the Asgardian Odin. They then sent glaciers over to Svartalfheim and destroyed all life there. Elderstahl was lost there but found by Thor, Loki, and the Warriors Three. They used to kill two northern sentries which sparked a war. Thor eventually stopped the war by giving back the sword.
In classic mythology, it is called Jötunheimr.
In the Comics
Loki is actually a small Frost Giant from Jotunheim. This was alluded to in Thor: Tales of Asgard but never specifically referenced.