Holds are the nine 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.
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 Old Holds are bound together in history, as these holds were inhabited by the ancient Nords.
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, whereas those with walls cost 20 gold.