The end of Season 5 of Game of Thrones saw Daenerys being taken prisoner by a group of Dothraki, and she picks up season 6 in much the same place. She's being dragged along by a khal and his riders who have no idea who she is, and they're bringing her to a massive city with two gigantic horse statues guarding its entrance. Look unfamiliar? That's Vaes Dothrak. What is Vaes Dothrak, you ask? It's the Dothraki capital, the city where all the various clans converge to get their trading done.
Viewers have actually seen Vaes Dothrak before, though it didn't look quite as huge and grand back then. Way back in season 1, Daenerys and Khal Drogo traveled there and Dany performed the ceremony in which she ate the heart of a stallion while pregnant. It was an important ceremony for a pregnant khaleesi, because if she was able to choke down the entire heart, then her unborn son would be strong. If she couldn't, the outcome wasn't so good. It's a city with a lot of history for Dany that connects her back to the beginning of her journey. She finds herself there again in a much more precarious position, but Dany hasn't forgotten her power.
Vaes Dothrak may be the Dothraki capital, but not many Dothraki live there; in fact, it's usually where widowed khaleesis go to live out their days (which Dany obviously did not do). Instead, it's a massive place for the various khalasars to trade and handle important business. It also has serious rules: you can't use a sword while within its walls, though you can use other weapons.
That makes it seem like it's simultaneously very safe and very dangerous for Dany. Her position as the wife of a deceased khal might protect her, but she might be expected to remain in the city. And she might not face violence in the form of a sword, but that doesn't mean she's not going to get hurt.