Grand Lodges are typically based on an area of civil government, and govern all Masonic Lodges or Temples within that area. In Europe it is typical that a country have a Grand Lodge, while in the United States the tradition has evolved that every state have its own independent Grand Lodge. Prince Hall Masons, named for their first Master of their original Lodge, originally had one Grand Lodge for the whole United States; this body was formed when Masonry in the United States was only open to whites, and thus has an overwhelmingly black membership.
Grand Lodges typically extend fellowship to one another, Masons being members of a Lodge being able to meet in Lodges under any Grand Lodge their own Grand Lodge is in fellowship with. However, there is no parent body over all the world's Grand Lodges.
Grand Lodges do not govern the "High Degrees" of Masonry, though these are only open to those who have gone through the basic degrees the Grand Lodges govern. However, the York Rite, Scottish Rite, and other high degrees' governing bodies as a rule defer to the Grand Lodges as the essential authority over Masonry. This lack of a central authority for the whole of the "Craft" means that all is held together by the individual Grand Lodges' willingness to maintain fellowship with one another, though they may adopt divergent practices that one or another other Grand Lodge may take exception to.
Rosicrucian groups also use the term Grand Lodge, but for a high level of internal organization below the ultimate parent entity.