Q. What is it supposed to be on the show?

A.  A remote part of Westworld, a dangerous badlands plagued by bandits.

Q. When do we see it?

A.  In Episode 4. In his continuing search for the Maze, the Man in Black learns that the mysterious bandit figure known at Wyatt is apparently the next step in solving the big puzzle.  So he goes out in search of Wyatt, taking Lawrence along for the hunt.

Along the way, they come across the host Teddy, who was also hunting Wyatt. He is tied to a tree, and  has been tortured (apparently by Wyatt) almost to the point of death. A vulture sits nearby, waiting for him to die.  Teddy begs the Man in Black to kill him, but instead he cuts him loose, and brings the dying host along on his mission.

Q. What is it in real life?

A.  A familiar rock grouping in the desert.

Q. Where can I find it in real life?

A.  You have almost certainly seen this location before.  If you're a Star Trek fan, you'll recognize it as the alien planet where Kirk battled the reptilian Gorn. Or perhaps as the planet Vulcan in the Trek movies.

If you ever watched an old TV western, then you've almost certainly glimpsed it.

This is Vasquez Rocks, named (appropriately enough) after a bandit who hid out there back in California's own Old West days.

You'll see its rocky peaks in "Gunsmoke", "Blazing Saddles", "Forbidden World", "The Flintstones" movie, "Roswell"... and the rocks eventually showed up in almost every old western TV series, from "Bonanza" to "The Lone Ranger".

This is one Westworld location that you can visit.  The rocks are part of a park that is open to the public, featuring (to quote the park's website):

"...932 acres of spectacular rock formations, Tataviam Indian sites, and a seasonal stream. The rocks’ history began in prehistoric times when the sandstone rocks were uplifted at a picturesque angle, showing their jagged red features. In 1874 Tiburcio Vasquez, one of California’s most notorious bandits, used these rocks to elude capture by law enforcement. His name has since been associated with this geologic feature. The park is a popular hiking, picnicking, and equestrian area and has been used in many hit movies, television shows and commercials."

You'll find the rocks at 10700 Escondido Canyon Road, in Agua Dulce, CA.  That's in a mountain pass between Santa Clarita and the Lancaster desert communities.

(It's about six miles northwest of the Polsa Rosa movie ranch, where they filmed other Westworld scenes.)

The park is open from sunrise to sunset, but be careful, because they lock the gates when they close, and if you're not careful, you might find yourself locked in.

One of the most distinctive and picturesque natural spots near Los Angeles, it has long drawn the attention of Hollywood film-makers, most often for Westerns, but also for science fiction films, since the rocks have an almost alien-planet look to them.

Here is a Google StreetView of the entrance to Vasquez Rocks park.

Here is a map link

And here's a Google Earth aerial view of the rocks.