From the Super Mario Wiki, the Mario encyclopedia
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A World is a group of levels in Mario games. In Super Mario Bros. and Super Mario Bros.: The Lost Levels, each world always has exactly four levels, and in Super Mario Bros. 2 each world has three (except the final world, which only has two). However, starting in Super Mario Bros. 3, most games have a varying number of levels. In some three-dimensional Mario games, worlds are no longer used; now each level stands alone (but each level is sometimes referred to as a world), and the missions are either referred to as stars or episodes. In earlier games, worlds were simply numbered "World 1", "World 2", etc. Super Mario Bros. 3 was the first Mario game to give the worlds distinct names, though some later games return to the standard numerical naming.
In general terms, a "world" refers to any large area of land and space marked off from other regions. As such, "world" may refer to a politically or geographically distinct region of land (such as Desert Land or Chocolate Island), a planet, or even an entire galaxy. Each world has several different terrains and locations.
List of worlds
Super Mario series
Mario vs. Donkey Kong series
Mario Party series
Names in other languages