In The Hobbit, the Wargs appear twice, once in chasing Bilbo Baggins, Gandalf, and the dwarves just east of the Misty Mountains, and once at the Battle of Five Armies. In the Lord of the Rings trilogy, they are most prominently mentioned in the middle of The Fellowship of the Ring, where a band of Wargs, unaccompanied by Orcs, attack the Fellowship in Hollin.
'Warg', like many words used in Tolkien's works, is an actual archaic Old English word meaning a large wolf. It has cognants in other Germanic languages such as Old Norse, where it is usually spelt with a "V" (i.e. "Varg"), and is the modern Swedish word for wolf. Because of the translation fiction this must mean that 'Warg' was not the name for these animals in Westron, but rather a translation of the original term.