Shakespeare worked mainly at two theatres during his writing lifetime, the Globe (now reconstructed on London's South Bank in its original site) and the Blackfriars.
The Globe was built first (and was actually made from the timbers of a previous theatre, "The Theatre" which Shakespeare and some other colleagues moved) and it saw the premieres of several of Shakespeare's best known plays, including "As You Like It", "Hamlet", and "Henry V" (which famously makes reference to the Globe as a "wooden O").
The Blackfriars theatre, on a different site, was built later on, and was, unlike the Globe, an indoor theatre. Critics are in some disagreement about which of Shakespeare's plays were written for the Blackfriars and which for the Globe, though generally, "All's Well That Ends Well" and "Measure for Measure" are usually thought of as Blackfriars plays.
One thing that is certain, though, is that Shakespeare didn't switch from the Globe to write only for the Blackfriars: it was during a performance of his play "Henry VIII" in 1613 that a cannon misfired, setting fire to the thatched straw roof of the Globe, and burning it to the ground.