The game play and story of Diablo III is broken up into sections known as Acts. These Acts usually begin after a big change and end with a larger fight or boss. Within each Act, the player will go through a multitude of different locations and cities.
Diablo III will have four Acts.
Each Act will contain a multitude of locations but the environment will have a similar theme.
The first Act will focus around Tristram, the location surrounding the events of the first Diablo game and the Western forest areas of Sanctuary.
The second Act will head towards Caldeum and the desert region of Sanctuary.
The third Act is currently mostly unknown other than Bastion's Keep which will be toward the end of the Act.
The fourth Act will, at least partially,will occur in the High Heavens.
During the Diablo III beta, some information was datamined from the client letting us see some of the locations avalaible. Its important to keep in mind this is by no means all the locations but should give you a basic idea. Please keep in mind this is a spoiler.