Holds are the different regions of Skyrim. There are nine Holds that define this province. Each Hold has a capital city and also has its own Hold Guard. Each of the nine Holds is governed by a Jarl. The Jarls are largely independent, but they swear fealty to Skyrim's High King. Each Hold also has its own Steward who serves as an advisor to the Jarl as well as handling affairs on behalf of the Jarl, and a court wizard. And there are Thanes, noble men or women that serve the Jarl as friends and councelors. If you become wanted or accumulate a bounty in one hold, it will not count in the next. That makes it easy to escape the law.