The Cloud of Slaanesh is the central base of the Slaaneshi Seraphim and the home of their goddess.
The Cloud, as it is called, is a plane of endless skies of purple clouds, superficially resembling the sky of the Plane of Man. Although there is no direct link to the Plane of Man except the Guild Gate and therefore little to no travel between them, the Seraphim are capable of transporting themselves across the barrier between the planes.
There is very little structural substance to the Cloud and the locations within are very few and far between, however, as the home of the Goddess of Sex would imply, they seem all dedicated to obscure and depraved fetishes. The souls of the degenerate lost are here, fueling their deity's might with their endless lusts.