From Harry Potter and the Sorcerer's Stone, Harry Potter and the Chamber of Secrets, Harry Potter and the Prisoner of Azkaban, and Harry Potter and the Goblet of Fire by J.K. Rowling. 

Azkaban - A prison for Wizards. (vol. 2, p. 224) 
Black Forest - A place in Germany where Professor Quirrell was rumored to have encountered vampires. 

Borgin & Burkes - A Dark Arts shop in Knockturn Alley. 

The Burrow - The Weasley family home. 

Chamber of Secrets - Concealed room created by Salazar Slytherin wherein he sealed an unknown horror that could only be set free by his true heir. Story and history. (vol. 2, p. 150) 

Dervish & Banges - Wizarding equipment shop in Hogsmeade. 

Diagon Alley - A shopping center for witches and wizards. 

Durmstrang - School attended by Viktor Krum. 

Eeylops Owl Emporium - Owl shop in Diagon Alley where Harry bought Hedwig. 

Florian Fortescue's Ice Cream Parlor (vol. 3, p. 50) 

Flourish and Blotts - School supply store. 

Forbidden Forest - The grounds at Hogwarts that are generally off limits. (vol. 2, p. 269) 

Gambol and Japes Wizarding Joke Shop (vol. 2, p. 56) 

Godric's Hollow - The place where Lily and James Potter lived. 

The Great Hall - The main hall in Hogwarts where the Sorting takes place and where meals are served. The ceiling has been bewitched to look like the sky outside. 

Gryffindor House - One of the four houses at Hogwarts. It was founded by Godric Gryffindor . The house symbol is a lion. The resident ghost is Sir Nicolas de Mimsy-Popington, also known as Nearly Headless Nick. Professor McGonagal is head of Gryffindor and Professor Dumbledore was in Gryffindor in his youth. Harry, Hermione, and the Weasleys are in Gryffindor House. 

Gringotts - A banking institution for witches and wizards. 

Grunnings - Uncle Vernon's drill-making company. 

Hogsmeade - The site of the 1612 goblin rebellion (listed in Sites of Historical Sorcery) and the only wizarding village in Britain. It boasts a wonderful array of shops including Honeydukes and The Three Broomsticks Pub. It is located near Hogwarts. 

Hogwarts School of Witchcraft and Wizardry - The place where most of Harry's adventures take place. 

Honeydukes - A sweet shop in Hogsmeade. (vol. 3, p. 151) 

Houses at Hogwarts - Slytherin, Hufflepuff, Gryffindor, Ravenclaw. Named after four headmasters. 

King's Cross Station, Platform 9 3/4 - A train station in London from which the Hogwarts Express departs. Vol. 1, p. 90. 

The Knight Bus - A triple decker bus that offers emergency transport for witches and wizards. It has no seats, but provides a brass bedstead and a candle beside each bed for the riders. (vol. 3, p. 77) 

Knockturn Alley - A seedy place where Harry mistakenly winds up when he takes Floo powder for the first time. 

Leaky Cauldron - A grubby-looking pub, behind which lies Diagon Alley. (vol. 3, p. 41) 

Madam Malkin's - A Shop in Daigon Alley selling wizarding robes for all occasions. (vol.3, p. 41) 

Magical Menagerie - Wizarding Pet Shop. 

Ministry of Magic - Government agency that tries to keep witches and wizards secret from non-magical people. 

Moaning Myrtle's Bathroom - The entrance to the Chamber of Secrets. 

Number 4 Privet Drive - The Dursley's residence and the place that we first meet Harry. 

Ollivanders - A company that sells wands. Their motto is Makers of fine wands since 382 B.C. 

Shreiking Shack - Most haunted dwelling in Britain, also with an historic past. (vol. 3) 

Slytherin House - One of the houses at Hogwarts. Founded by Salazar Slytherin. Symbolized by a snake. The resident ghost is the Bloody Baron. Harry's arch-enemy Draco Malfoy, is in Slytherin House. Professor Snape is head of Slytherin. 

Three Broomsticks - A pub in Hogsmeade. 

Zonko's Joke Shop - Sells such entertaining items as stink pellets, belch powder, whizzing worms, frog spawn soap, nose-biting teacup, dungbombs, hiccup sweets, etc.