 In an HBO featurette, Martin stated the lands beyond the wall make up a big part of Westeros, being roughly the size of Canada.The Valley of Thenn is one such location beyond the Wall, and north of that is the Lands of Always Winter, where the Others come from.During the first season, the HBO team used places that they could decorate with artificial snow for the north of the Wall, but a bigger landscape was chosen for Season 2.