Where It All Goes Down
Could we possibly get vaguer? To be more specific, several different planets within the universe: Earth, Uriel, the Happy Medium planet (it's not named), Camazotz, and Ixchel. Each planet has its own quirks: Earth is the place we know, except for the black shadow hanging over it; the Happy Medium's planet is a medium shade of taupe and that's about it; Camazotz is a conformist utopia, or is it dystopia? (see "Symbolism, Imagery, Allegory" for more on that); and Ixchel is Camazotz's good twin. There's also the space that our heroes tesser through to travel from planet to planet, and the two-dimensional planet they briefly stop on by mistake.
By stopping by so many different planets, the novel gives us a tantalizing taste of a universe full of more beauty, and horror, than we can imagine. The setting also suggests that familiarity is not necessarily a good thing: of all the planets visited, Camazotz is the most Earth-like, but it's also the most terrifying. Juxtaposing so many different planets brings about a shift in perspective. While there are more people on Earth than any one individual could meet in a lifetime, we still kind of get it when one of the beasts on Ixchel, after hearing that Earth has no contact with other planets, asks if humans are lonely. The varied settings underscore the limitations of normal human experience, and offer a glimpse of what else might be out there.