Bifrost, also commonly referred to as "The Rainbow Bridge."
Bifrost connects Asgard, the world of the Aesir to Midgard, or the Middle Earth, which is where we humans reside. There is not a great deal known about the bridge, such as where it came from, and it is said Thor cannot use the bridge, because his weight will break it. However, at the same time, I have heard that Bifrost is unbreakable.
The bridge, on the Asgard side, ends at the home of Hiemdall, the guardian of the bridge. He guards Bifrost, and prevents Jotnar from crossing it into Asgard.
It is said, that at Ragnarok, Surt, leading the fire giants, will cross over the bridge into Asgard, and in so doing will destroy it along with everything else.