Warp Zone
The Warp Zone is a hidden area that acts as a kind of freeway, connecting many worlds to one place.
In Super Mario Bros., the zone was a sectioned off area, containing pipes to different levels.
In Super Mario Bros. 3, the zone was actually an island and could only be accessed via Warp Whistle. On the game screen it is referred to as 'World 9.'
In New Super Mario Bros., secret exits in levels 1-Tower, 2-A, 3-GH, 4-GH, and 5-GH led to cannons which launch Mario or Luigi to a later world (the first two to World 5, then 6, 7, and 8, respectively).
In some cases, a Warp Zone may simply be a connection of some sort between two points, in place of a standard Warp Pipe, like the Vases in Yoshi's Story. In The Super Mario Bros. Super Show, King Koopa would sometimes make his getaway at the end of an episode by throwing a Magic Potion and creating a Warp Zone (usually a door or a portal), which he would escape through.