Oz is a fantasy region containing four lands under the rule of one monarch.
It was first introduced in The Wonderful Wizard of Oz (1900) by L. Frank Baum, one of many fantasy countries that he created for his books. It achieved a greater popularity than any of his other lands attained, and after four years, he returned to it. The land was described and expanded upon in the Oz Books. An attempt to cut off the production of the series with The Emerald City of Oz (1910), by ending the story with Oz being isolated from the rest of the world, did not succeed owing to readers' reactions and Baum's financial need to write successful books.
The canonical demonym for Oz is "Ozite". The term appears in Dorothy and the Wizard in Oz, The Road to Oz, and The Emerald City of Oz. Elsewhere in the canon, "Ozmie" is also used. In the official sequel to the MGM film, Journey Back to Oz, "Ozonian" is used. The term "Ozian" appears in the script for the Royal Shakespeare Company's stage adaptation of the MGM movie and in the non-canonical modern work Wicked. "Ozmite" was used in Reilly & Lee marketing in the 1920s, which has suggested to some critics that "Ozmie" may have been a typographical error.
The land of Oz is depicted as real in the books, unlike the 1939 movie adaptation, which presented it as a dream of Dorothy's.
In all, Baum wrote fourteen children's books about Oz and its inhabitants, as well as six shorter books intended for younger readers. After his death, Ruth Plumly Thompson and other writers continued the series.
Source: Wikipedia, "Land of Oz", available under the CC-BY-SA License.