Middle-earth is the fictional setting of the majority of author J. R. R. Tolkien's fantasy writings. The Hobbit and The Lord of the Rings take place entirely in Middle-earth, as does much of The Silmarillion and Unfinished Tales.
Tolkien prepared several maps of Middle-earth and of the regions of Middle-earth where his stories took place. Some were published in his lifetime, though some of the earliest maps were not published until after his death. The main maps were those published in The Hobbit, The Lord of the Rings, The Silmarillion, and Unfinished Tales. Most of the events of the First Age took place in the subcontinent Beleriand, which was later engulfed by the ocean at the end of the First Age; the Blue Mountains at the right edge of the map of Beleriand are the same Blue Mountains that appear on the extreme left of the map of Middle-earth in the Second and Third Ages. Tolkien's map of Middle-earth, however, shows only a small part of the world; most of the lands of Rhûn and Harad are not shown on the map, and there are also other continents.
Tolkien wrote many times that Middle-earth is located on our Earth. He described it as an imaginary period in Earth's past, not only in The Lord of the Rings, but also in several letters. He put the end of the Third Age at about 6,000 years before his own time, and the environs of the Shire in what is now northwestern Europe (Hobbiton for example was set at the same latitude as Oxford), though in replies to letters he would also describe elements of the stories as a "... secondary or sub-creational reality" or "Secondary belief". During an interview in January 1971, when asked whether the stories take place in a different era, he stated, "No ... at a different stage of imagination, yes." However, he did nod to the stories' setting on Earth; speaking of Midgard and Middle-earth, he said: "Oh yes, they're the same word. Most people have made this mistake of thinking Middle-earth is a particular kind of earth or is another planet of the science fiction sort but it's just an old fashioned word for this world we live in, as imagined surrounded by the Ocean." He continued to make references to its being "... a brief episode of History" of Earth as late as Autumn 1971.
In J. R. R. Tolkien's legendarium, Arda is the name given to the Earth in a period of prehistory, wherein the places mentioned in The Lord of the Rings and related material once existed. It included several seas and oceans, and the continents of Middle-earth, the Dark Lands, and Aman, as well as the island of Númenor and other lands, left largely unnamed by Tolkien.
Source: Wikipedia, "Middle-earth", available under the CC-BY-SA License.