Commonly used to refer to the Southwestern part of the United States, generally considered to include Arizona, Utah, New Mexico, Texas, Nevada, and Southern California. These states experience the hottest temperatures that the USA has to offer, particularly Arizona, which usually has the highest thermometer readings of any other inhabited location in the US.

"Southwest" referring to art or culture usually means Arizona, New Mexico, Mexico, and maybe El Paso, Texas, as far as I can tell. Most artwork, food, architecture, or whatever that is labelled "Southwestern" is a sickly combination of Mexican and Native American cultural influences.

And for a minority of people, it just means the Sonoran Desert.