The Void is the endless space in between dimensions, such as the universe of Olegaia and The Faerie. What the Void looks like depends on the beholder, although most people are unable to see anything but white emptiness. Wizards can use the Void to create magic portals to other places and even to other dimensions, at the risk of getting stuck into the Void on the way.
Demons are said to be creatures of the Void, although other references call their realm Azazot, named after the creator of demons, also known as Zoot. Demons are not the only creatures lurking in the endless expanses of the Void, for numerous spirits, souls and ethereal monsters are trapped there as well - including the Void Eaters that feast on any materia they come across.