The Sunset Sea is the great ocean lying to the west of Westeros and the Summer Islands. The Bay of Ice and Ironman's Bay are inlets of this ocean.
No reliable crossing of the the Sunset Sea has been made, though it is known that the island of Lonely Light is located a full week's sale due west of the Iron Islands. According to some of the ironborn, there are islands and possibly larger landmasses located beyond the Sunset Sea, but this has not been verified by other sources. (Although such lands appear in the introduction sequence of the TV series[1], it is not considered canon) Considering Westeros as England, this western mass could be the SOIAF equivalent of the Americas.
The Sunset Sea is separated from the Summer Sea by the Summer Islands and the Arbor. The Redwyne Straits link the Sunset and Summer seas along the north coast of the Arbor.
The largest port on the Sunset Sea is Lannisport in Westeros. Lotus Port, the capital of the Summer Islands, also lies on the Sunset Sea.