Jötunheim (or Jötunheimr or Jötunheimar), where the giant Þrymr reigns, is, in Norse mythology, the territory that Odin left to the ice giants at Creation. With Utgard as its fortress, it is one of the nine worlds supported by the cosmic tree Yggdrasil.
According to F.-X. Dillman in his notes on the Edda of Snorri, the oldest mythological texts locate this world to the east of Midgard, while the more recent prose texts locate it to the north. To the east lies the Iron Forest, Járnviðr, home of the wolf-like giants.
"Jötunheim" (v. isl. Jǫtunheimr) is the singular name for the "kingdom of the giants" or the "land of the giants," the plural being "Jötunheimar." It is composed of "Jötun", which designates the giants and "heimr", the kingdom.
The form "Jötunheimar" is used in François-Xavier Dillman's translation of the Edda, for example, whereas the singular form, "Jötunheim", is more commonly used in the Völuspa.
Already in chapter 1 of the Gylfaginning, the Jötunheimar are mentioned as the place where a wanderer, who had been offered by king Gylfi as much land as four oxen could plow in one day and one night, went to fetch the said oxen.
For she was not a beggar, but belonged in fact to the Aesir race, and her name was Gefjon. These oxen, which were in fact her sons conceived with a giant (in some versions, during this episode and for this specific purpose), turned over so much earth that they tore off a piece and deposited it in a strait. This would be the island of Seeland.
In chapter 14, Snorri reports the organization of the world by the gods, guided by Odin.
They built different famous places, like Idavoll, Gladsheim or Vingólf, and then built forges. They made hammers and anvils with which they forged other everyday utensils with pure gold, because they had plenty of it.
That is why this age is called "the golden age". It lasted until it was corrupted by the arrival of the Jötunheimar women. If their nature is not specified by Snorri Sturluson, it is in stanza 8 of the Völuspa.
Some giants are known through stories or marriages with the Aesir live in Jötunheimar. Here is a non-exhaustive list.