The poem takes place in an imaginary space; Lady L doesn't tell us where she's speaking from, what's around her, or even if she's in any place at all. But throughout the poem, she evokes two main settings: the circus (or carnival—it's not clear which), and the Holocaust's concentration camps. The circus atmosphere is creepy enough, with its "peanut-crunching crowd" that undresses our speaker, but the concentration camp makes this look like child's play.
In "Lady Lazarus," Plath describes the crematoriums that the Nazis used to burn Jews to death. She doesn't provide long descriptions, but she gives us just enough information—the ash, the wedding ring, a gold filling—to instill in us a sense of horror. And rightfully so. These are the objects left behind in the crematoriums; these are all that's left of the victims who have been burned to death.
In other words, to make a long story short, Lady Lazarus takes us to a really dark place in this poem.