Lear is set in super-ancient, pre-Christian Britain. (Though, there are some Christian themes in the play. Check out our theme discussion of "Justice" for more on this.) You'll notice a lot of action in castles. All these palace scenes suggest a certain sense of order and elegance, a sense which we soon discover to be false. Things may look courtly and refined, but in fact Lear's retirement leaves a power vacuum—the Earl of Gloucester is unseated by his own son, Regan takes over Gloucester's castle, there's potential civil war, oh, and France is invading.
The one setting where we do see the reality of this chaos is on the heath, where a homeless King Lear wanders during a violent thunder storm. We talk about the significance of this setting in "Symbols," so be sure to check it out.