Holds are the 9 administrative divisions of Skyrim.
Each of the nine Holds is governed by a Jarl who resides in the Hold's capital city. The Jarls are largely independent, but swear fealty to Skyrim's High King, who in turn swears fealty to the Emperor.
The main holds also employs their own guards, who can be identified by the color of their uniform and the Hold symbol they bear on their shields.While the smaller ones are guarded by the soldiers whom they owe alliegance too.
Given the independent nature of governance, crimes are tracked independently by each Hold, and a criminal who is wanted in one Hold may have no bounty in another.
Winterhold, Eastmarch, The Rift and The Pale are known collectively as the "Old Holds" and have remained more isolated - not only from a geographic standpoint, but a political one as well, given that they are all initially aligned with the Stormcloaks during the civil war.
The Holds of Skyrim
5. When taking a carriage to a hold, holds that have no walls (Falkreath, Morthal, Dawnstar, and Winterhold) cost 50 gold, where as those with walls cost 20 gold.