The Henge in Folklore is located in the southern most part of the village. It is a key location in the game and many chapters involve the location. At night, a glowing stone in the center accepts Mementos that open gates to the various locations within the Netherworld. At some points in the game, a magical portal opens that allows you under the Henge or, during the endgame, allows access to the Netherworld Core.
Also see: Wikipedia:Henge