The Pillar of the World was a gigantic pillar that was located in the Underworld, which held up the Greek world and prevented it from collapsing on itself. It was partially destroyed during the battle between Kratos and Persephone, forcing the Titan Atlas to stand upon it and hold all of Greece upon his shoulders.
God of War series
In God of War: Chains of Olympus, the Goddess, Persephone, developed a scheme in which she, with the aid of Atlas, would have destroyed the pillar and cause the entire Greek world to revert into Chaos. Kratos attempted to stop her, and the top of the pillar was where the two had their final battle. During the battle, Kratos also chained Atlas to the pillar with the Gauntlet of Zeus. After the battle was over, Persephone was destroyed, and Atlas was condemned to forever stand upon the pillar and hold the entire world on his shoulders.
That was why Atlas was seen in God of War II telling Kratos that he put him there. In God of War III, the Pillar of the World was depicted as a carving on the Gates of Tisiphone that Kratos had to solve its puzzle in order to open it and head on to the Pit of Tartarus in order to reach Cronos. Apparently, directly above the pillar was the Island of Creation, as when Kratos took the Icarus Wings in the Great Chasm, he fell right on top of Atlas, who stood on the pillar.