A Bit of Essos History (That we know of through the TV Show):
'The First Men':
Ancestors of people of Westeros that invaded Westeros 12,500 years ago came from somewhere in Essos.
Ancestors of people of Westeros that invaded Westeros 6,000 years ago from the west coast of Essos.
There are Free Cities that appear to be mainly on the West Coast of Essos (there will probably be more once Dany gets through): Braavos, Lorath, Lys, Pentos, Qohor, Myr, Asshai and Qarth.
Slave Based Cities:
There are slave cities throughout Essos: Astapor and Yunkai. (Speculation, some past peoples may have governed over these cities at one time and enslaved the peoples. If this is the case, it appears they are gone because Dany is freeing these one at a time by defeating the slave masters at these cities.)
The Dothraki Sea:
Has one city Vaes Dothrak (no walls or keep.) The people are nomadic and swirl around that territory.
The Dothraki have 40,000 soldiers lead by a Khal.
An area of little camps of peaceful folks close to the Dothraki Sea. (Shown to us towards the end of Season One.)
Is mentioned in S1E4 from Viserys to Doreah (bathtub scene) as being in Essos and the ancestral place of the Targaryen line before establishing a foothold in Westeros on Dragonstone Island. 'Valyrian Steel' mentioned numerous times on the show comes from here. (Tywin indicates that very few blacksmiths know how to rework it in S4E1.) If you couple that comment with the fact that Dany hasn't gone there this suggests something happened to Valyria and it no longer exists.
Quaithe was protecting a man with magic in S2E7 who was trying to sail past Old Valyria when Jorah Mormont went to visit her about the dragons.
Valar morghulis. (All men must die.)(S3E3)
Valar dohaeris. (All men must serve.)
We can interpret that to mean: all men are mortal and must serve their god or king.
We learn in S3E6 that these words are from a language called High Valyerian.
Game of Thrones: Threads at the TV Critic