Udûn is a depressed valley in Mordor. During the War of the Alliance and the War of the Ring, the armies of Mordor commanded by Sauron passed through this valley on their way to the Black Gates. Samwise and Frodo also passed through the valley to reach Mount Doom.
While battling a Balrog on the bridge of Kazhar-dum in the mines of Moria, Gandalf yells:
In Sindarin Udûn means “Hell”.