Middle-earth (in Sindarin, Endor) is the largest landmass of Arda and the setting for most of the events in the Lord of the Rings continuum. It is more or less analogous to Europe in latitude and climate. Parts of Middle-earth farther east and south begin to resemble Asia and Africa, respectively.
Regions of Middle-earth
Eriador comprises the land west of the Misty Mountains and east of the Sea. It is where the Shire, Bree, and Rivendell are located. It was also the location of the kingdom of Arnor before it was lost in wars with Sauron. Eriador is the most like Europe, and the Shire in particular is modeled after England.
The kingdoms of Rohan and Gondor are east of the Misty Mountains, south of Rhovanion, and west of the River Anduin. Opposite the river from Rohan are the Brown Lands, which are desolate and uninhabited. Gondor is bordered by the White Mountains and Rohan to the north, the Sea to the south, and Mordor to the east.
Beyond Mordor, there are Harad to the south and Khand to the east. These lands are where Sauron recruits Men for his armies. Harad is known to have elephants and camels.
Mary Sues and Middle-earth
Sues like to claim to be natives of Middle-earth, though sometimes they invent made-up magical kingdoms to be from. Unfortunately for them, the geography of Middle-earth is very well documented, so this does not usually go over well with the PPC.