Each world has an Underground Jungle and a Dungeon. Each of these areas is full of very difficult enemies and very valuable items, and each is found just before the "ocean" at the edge of the world. If you walk in the same direction long enough you will come across one of these. The other one will be at the opposite end. So, if you walk west and find the Underground Jungle, to the east you'll find the Dungeon.

It's a really good idea to come with strong armor, plenty of potions and maybe even a friend or two before you try tackling either of these. They can be overwhelming.