Places
Azkaban
Azkaban is the wizarding prison on an island in the North Sea, guarded by Dementors until the Ministry removes them. Sirius Black is held there for twelve years without a trial. He escapes in Harry’s third year. Later prisoners include several Death Eaters who break out in the fifth book.

First mention
Harry Potter and the Prisoner of AzkabanChapter: The Knight Bus
On the bus to London, Harry hears that Sirius Black has escaped from Azkaban.