The Nexus is the world at the centre of existence, and is where the main game takes place. Powerful monsters can be encountered here, and there are no restrictions on PK, making it a very dangerous place for the unprepared - but the potential rewards are more than enough to make such risks worthwhile.
You may leave the Nexus and return to the Realm plane via the ‘shift’ command, although death will also result in you being banished back to your home plane, where your physical body will be reformed.
See also: area death realm safe shift scan