The Star Fox games are set in a fictional solar system near the center of the Milky Way galaxy, dubbed "Lylat". Like many Nintendo games Lylat is constantly changing as more and more planets get added with every new game and existing planets change. Nintendo is not known to keep stories and settings canon, as demonstrated in the Legend of Zelda series.

PLANET	GAME	DESCRIPTION
VENOM	StarFox, StarFox 2, StarFox 64	First planet of the Lylat system, its beauty was once second only to Corneria's, but in most games it is Andross' homeworld--polluted and full of dangerous pschokinetic traps. In leaked builds of StarFox2 we see some restored beauty.
TITANIA	StarFox, StarFox 2, StarFox 64	Second planet of Lylat, spelled "Taitania" in leaked builds of StarFox 2, Titania is a cold, desert-like mining planet kept livable by a climate control unit.
MACBETH	StarFox, StarFox 2, StarFox 64	Third planet of Lylat, Titania is a hollow, volcanic world. In the N64 game one only flew along the outer surface to fight a train, but in the cooler games one had to fly inside the red interior of the planet.
CORNERIA	StarFox, StarFox 2, StarFox 64	Corneria is the 4th planet of the Lylat system, known as the "bread basket" of the system. Like earth, it is varied in climate and generally portrayed as temperate with pleasing mountain ranges and well-developed cities.
FORTUNA/DINOSAUR PLANET	StarFox, StarFox 2, StarFox 64, StarFox Adventures	Surprise! Although I'm sure Rare never intended it to work so well, the original game clearly states that "Fortuna is also known as the Dinosaur Planet and is prowled by untamed and brutal creatures." (page 21 of the instruction manual) This planet is portrayed with the most radical biomes--deserts, oceans, plains, and in the N64 game all you got to play in was frozen tundra. The GameCube game is set primarily on this planet and orbiting chunks of it. Fortuna is the fifth planet of the Lylat system.
PAPETOON	StarFox comic series only	Papetoon was only in the 1993 comic series. It was the Lylat equivalent of Sherwood Forest for the Star Fox team after they were banished from Corneria for opposing Andross.
ELADARD	StarFox 2	No official story is known about this new planet, but it appears to be very industrial, judging from leaked builds of the game.
ASTEROID BELT	StarFox, StarFox 2	Corneria was protected by two asteroid belts in the original game. Renamed "Meteo" in the N64 game.
METEOR	StarFox, StarFox 2	The Battle Base Meteor was an artificial asteroid intended to be an amusement facility dubbed "Meteor Land".
METEO	StarFox 64	The N64 equivalent of the asteroid belt.
SECTOR X	StarFox, StarFox 64	A debris-filled path to Titania in the first game.
SECTOR Y	StarFox, StarFox 64	A strange, almost sea-like area of space populated by space-faring creatures.
SECTOR Z	StarFox, StarFox 64	A junk-filled region of space on the way to Macbeth.
SOLAR	StarFox 64	Most assume this to be Lylat's sun, although it has giant rocks shooting out of it--which makes no sense for a star.
ZONESS	StarFox 64	An oceanic planet unique to the N64 game.
KATINA	StarFox 64	Another desert-like world invaded by Andross in the N64 game.
AQUAS	StarFox 64	An underwater level in the N64 game, this planet is almost completely aquatic.
AREA 6	StarFox 64	An armada-filled region of space near Venom in the N64 game.
BOLSE	StarFox 64	This space station orbits near Venom in the N64 game.
SPACE ARMADA	StarFox	The SNES game had a very very cool space armada stage where you actually flew inside and between giant starships.
OUT OF THIS DIMENSION	StarFox	A hidden level in the original game.
THE AWESOME BLACK HOLE	StarFox	The most temptingly obvious hidden area of the original game. The entrance is unlocked in the asteroid belt.