There a many special locations throughout the map of A World of Ice and Fire. Visiting these can give you special rewards or things to do.
Many of these are hidden and must be found first.
I will mention here 3 examples of places in particular
Beyound the wall there are two hiding places like the Cave and the giant lair.
When defeating the giants you will receive a trophy that can be exchanged for 3000 stags
Defeating members of the free folk on the cave will earn you obsidian arrows and an obsidian dagger (very useful against white walkers if you don't have Valarian swords)
In the forest near the deepwood Motte there is the Wolf Den, after killing all the wolves you will win the Dire Wolf