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This is a good question because A Song of Ice and Fire as a whole is so incredibly varied in its settings. When considering the setting of a narrative it is important to go beyond just geographical locations - although those are important too.
A Dance with Dragons contains the following perspective characters:
1. Tyrion - who is now in exile and is heading towards Slaver's Bay.
2. Daenerys - who has set herself up as the Queen of Meereen
3. Jon Snow - at The Wall
4. Bran Stark - beyond The Wall and looking for the Three-Eyed Raven
5. The Merchant's Son (Quentyn Martell)
6. Davos - who is headed towards White Harbour on a mission from Stannis.
7. Reek - a.k.a. Theon Greyjoy, who is at The Dreadfort, suffering at the hands of Ramsay, the Bastard of Bolton.
8. The Lost Lord (Griff) - heading towards Slaver's Bay
9. The Windblown - (Quentyn Martell again), heading towards Slaver's Bay
10. The Wayward Bride (Asha Greyjoy), at Deepwood Motte.
11. Mellisandre - at The Wall.
12. The Prince of Winterfell - (Theon Greyjoy) now at Winterfell with Ramsay.
13. The Watcher (Areo Hotah) - Doran Martell's guard at the Palace of Sunspear
14. The Turncloak - (Theon Greyjoy again), still at Winterfell
15. The King's Prize - (Asha Greyjoy), still at Deepwood Motte
16. The Blind Girl - (Arya Stark) in the House of Black and White, Braavos.
17. A Ghost in Winterfell - Theon again.
18. Jaime Lannister - heading towards Riverrun
19. Cersei Lannister - at King's Landing
20. The Queensguard - (Barristan Selmy), at Meereen with Daenerys.
21. The Iron Suitor - Victarion Greyjoy, pillaging etc. on his way to Meereen also.
22. The Discarded Knight - Barristan Selmy
23. The Spurned Suitor - Quentyn Martell, still in Meereen
24. The Griffin Reborn - Griff, though now revealed to be Jon Connington, attacking Griffin's Roost, which is his ancestral home.
25. The Sacrifice - Asha Greyjoy, now with Stannis Baratheon heading towards Winterfell.
26. The Ugly Little Girl - Arya, still at the House of Black and White (the Many-Faced God).
27. The Kingbreaker - Barristan Selmy, still at Meereen
28. The Dragontamer - (an ironic name), Quentyn Martell at Meereen.
29. The Queen's Hand - Barristan Selmy.
As you can see, the scope of this story is simply astounding. One thing that is worth noting in terms of the perspective characters is how their identities change. This reflects one of the key ideas that Martin explores in these novels, which is the arbitrary and subjective nature of perspective. Although this feels like a point about character, it is also a key aspect in the way that these stories are set; that is the reader is constantly challenged to reinterpret their sympathies, interpretations and readings of key characters.
In a broader sense, the setting of A Dance With Dragons is simply not a singular location. This plurality of settings is what makes the story so fascinating, and one thing in particular stands out: Martin makes many of his characters face Fortuna's Wheel, which means that they experience a reversal in fortunes.
In another way, it could be argued that much of this story is set within its own past. Frequently, the perspective characters will narrate back stories or tales about the Age of Heroes, or Robert's Rebellion, or The False Spring. We come to realise that the idea of history, just like perspectives, is itself arbitrary, with no starting point or end point. Many of the conflicts that drive the narrative are family feuds that stretch back generations. One is tempted to ask the question, 'What sparked all of the events in this series?' But as you seek for an event of origin, you simply go back further and further into the past - kind of like asking about the spark that set off World War One - the truth is, it's complicated.
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