The world map shows you everywhere you can travel to in the world. Use the movement keys (WASD by default) to view different areas on the map. To access the world map, press the map key (tab by default). At the bottom of the screen your will be able to switch between the different screens. You can quickly access specific screens using the F-keys. F1: Local, F2: World, F3: Inventory and F4: Log.

World Exits: Like the local map the area of the world you are currently in will display blue arrows showing you where exits to other world area are located.
You Are Here: Your location will be represented by an image of your character.
People and Points of Interest will be hidden at the beginning of the games. To find them just move near them and then they will be visible on the world map. Some of these people and points will be revealed to you after talking to helpful people.
People: Civilians who you can interact with to complete the main quest and side quests will show up on the world map as heads of that character.
Points: Important location on the world map will show up as a pin. If the location is a level and you have completed that level a red X will be shown under the pin.
Fast Travel (Involves Risk): You can navigate the world by using world exits to move from area to area to reach your goal. Also clicking on the area you want to travel to will move you quickly to that area. Warning: using fast travel will have a good chance of decreasing your health, armor, shields and ammo. On the plus side you will never loss weapons, gems, or special items using fast travel.