Yume Nikki contains many locations, most of them hidden within the original locations you access from the Nexus. Note that fan-accepted names are used, because the real names are not known.
Original Locations
Madotsuki's Room
See: Madotsuki's Room
The place Madotsuki starts off in, both in the real world and the dream world.
Madotsuki's Balcony
See: Madotsuki's Room
A place with limited functionality until a later point in the game, although not its dream world representation.
The Nexus
See: The Nexus
A place containing doors leading to 13 locations.
Forest World
A Forest area with a part of the Aztec Rave Monkey as the Parallax Background. In this world, you can find a frog that gives you the "frog" effect, and the purple and pink blobs do nothing to you when touched. Somewhere in this world is a passageway to the Face Carpet Plaza.
Block World
A world filled with blocks. There's a men's bathroom located in this world, as is the "Hat and Scarf" effect. If you talk to the Hat-and-scarf girl, she will teleport you somewhere you normally cannot go. Occasionally she'll teleport you to a place with a shortcut to the Monochrome World/White Desert. Talking to her as a snowman will not teleport you to a random place on the return trip.
Puddle World
A dark world filled with puddles and lampposts. The "umbrella" effect is located here. Going down two lampposts from the door and going right will lead you to a pink stairwell that takes you to the Dense Woods.
Dark World
A world completely dark, where you have to use the "Lamp" effect to see (or you could put the game against a dark background if you're playing in Windowed mode) better. The "knife" effect is located here, and so is the passageway to Wilderness A.
Snow World
A snowy world with areas of trees. Around this world, there is a Yuki-onna (Snow woman) that gives you the "Yuki-onna" effect. There are multiple igloos in this world, one leading to the Pastel Shoal world. There is also a bed in this world.
Mural World
A world with multiple murals. In here you can find the "Blonde Hair" and "Long Hair" effect giving mouth-monsters. Also in this world is the manhole that leads to the sewers.
Graffitti World
Eyeball World
Candle World
Shield-folk World
Neon World
It's a neon world. Accompanied by small flashing box-like creatures and odd aztec neon sign designs in the background in certain rooms, it is arguably one of the hardest areas to navigate. Yes, you can kill the flashy things.
Number World
Deeper Locations
Hell
See: Hell
The single largest area in the game, also known as the "Red Maze"
White Desert
See: White Desert
Home of Monoko
Wilderness A
The Mall
See: Mall