The witches appear in a nameless "desert place" with thunder and lightning all around. It is meant to be immediately ominous and dangerous. It is implied that they are in some other-worldly place, meeting to prepare for their interference with Macbeth. It seems they do not meet in their "coven" very often, because the 3rd witch is surprised that they will meet a gain so soon. They are also summoned away by their animal partners (Graymalkin and Paddock) which implies their supernatural ability to communicate with animals.
James I of England was fascinated by witches and the trouble they cause. That coupled with his genealogy as a descendant of Banquo were of primary importance to Shakespeare, who wrote this story for the king.