The World Map, also known as the "Wilderness", is simply the area between different levels. There are small icons visible representing towns, caves, and other worlds. Press '>' to enter these areas.
Since this is like a "zoomed out" view of the world, each step takes 10 turns instead of only 1. As a result you may go hungry much more quickly.
There are no monsters in this area, so it can be a useful place to escape from a nasty attacker. However, you are not allowed to leave other levels if there are hostile enemies nearby.
You also do not tire in the world map, even when running. Whether this is a bug or an intentional feature is unknown. But in this way it can be useful for maintaining a high Agility while still gaining lost health back. (If you rest inside of another level for too long, your agility will drop.)