The Wood is the location in which the Big Fir Tree is located. As such, it serves as the bigger setting at the very beginning and very end of both The Tale of Peter Rabbit and The Tale of Benjamin Bunny. It is located behind Mr. McGregor's property.
Benjamin Bunny running through the Wood after seeing the McGregors on a carriage
Peter Rabbit and Benjamin Bunny standing on the wall that divides the Wood from Mr. McGregor's Garden