Jotunheim is one of the nine realms and the home of the Frost Giants. It is ruled by Laufey.
History
Thor
Jotunheim is shown in a flashback about the previous war with the Frost Giants and the Asgardians. The last battle of the war was fought there. During the battle,Odin stole the Casket of Winter and it was later revealed that he took Laufey's son ,who was left there to die.
In present day,Jotunheim was shown when Thor and his friends came there for some answers on their recent break-in to Asgard. The Asgardians encountered a fight, where they fought a seemingly endless army of Frost Giants. Odin later came to rescue his subjects, and he returned them to Asgard.
Loki later takes a visit to Jotunheim to strike a deal with Laufey. He would allow Laufey to go to Asgard to kill Odin. That way, Laufey's worst enemy would be killed and Loki. Would take the throne. However,Loki betrays and kills Laufey,his father. He then overloads the Bifrost Bridge's power in order to destroy the monster-full Jotunheim. However,Thor defeats Loki before it is accomplished.