Knowhere is a space station built by occupying the dismembered head of a Celestial. No one knows how a Celestial could be dismembered, but there you have it. It floats at the edge of the universe, and is a gathering point for... well, lots of people. Including, in this case, the X-Men.
There is a marketplace where you can get... well, lots of alien stuff, and be weirded out by the sheer amount of aliens there. There is an area for the security forces, both official and deputized, to train and plan. Most of the heavy work occurs in the continuum cortex, the ops center built into the spinal cord of the Celestial, which among other things has teleportation capabilities to, well, anywhere.