The Lanes Between are passage ways, that connect the Worlds together. They were formed when all Worlds were separated during the climax of the Keyblade War. These Lanes are filled with a deep darkness, which make them home to some of the largest and more vicious Heartless, and Nobodies. You have to pass through the Lanes to make your way to the others worlds, unless you can form doors of darkness, or teleport, to get you from world to world. This is where you will be getting to most use out of your Keyblade Armor and Gliders, as the Lanes Between is the only way for Keyblade Apprentices of the Light, to get to other worlds.