Cosmere
The cosmere is the greater universe in which The Stormlight Archive - and many of Brandon Sanderson's other adult fiction books - take place. The books take place on different Shardworlds, and each of these worlds is set in the same small galaxy within the cosmere universe.
Brandon has said that one does not need any cosmere knowledge to understand the books, and that they can be enjoyed separately, but it will be necessary eventually to have a certain understanding of Realmatic Theory.
All things exist in three Realms: the Physical, the Cognitive, and the Spiritual.
The Physical Realm is the most readily understood as it is merely the manifestation of the world as experienced by the characters, with properties similar to our own.
The Cognitive Realm, also known as Shadesmar on Roshar, can be used as means of Worldhopping and travel. Worlds are much closer to each other in the Cognitive Realm than in the Physical. When there, a Worldhopper is within walking distance to other worlds (though it may take weeks/months to travel between worlds). Both Shallan and Jasnah have traveled to the Cognitive Realm. It is the place of ideas and has much in common with Platonic Ideals.
The Spiritual Realm is that of the "soul." Little is know about this Realm. It is believed that this is the location of the afterlife for cosmere residents. Shardholders may not have full access to the Spiritual Realm.
Cosmere consists of 4 total books. The current recommended reading order for the series is provided below.
Related series Elantris
Related series The Mistborn Saga
Related series Warbreaker
Related series The Stormlight Archive
Related series White Sand
Related series Secret Project
Related series Dragonsteel