This image from the Game of Thrones intro sequence shows the Sunset Sea and the lands to the west of Westeros.
But what exactly is west of the Sunset Sea? Has anyone ever traveled there?
We do not know (yet)
(August 26, 2000)
From the wiki:
Since the Seven Kingdoms seem to be inspired by GB,it might be possible that the lands west of it are a pendant to america and are yet to be discovered.