The Red Brick Road is a road that shares the spiral beginning of the Yellow Brick Road, as seen in the 1939 film, The Wizard of Oz. In the film, the road is never mentioned, though it looks like it becomes a separate road.
The road has become an internet meme, and has also been explored in various versions of Oz, including an upcoming TV series based on the concept.
In Official The Wizard of Oz merchandise
These works are officially licensed products associated with the 1939 film, so they may provide the closest to an official answer to where the road goes in that movie's continuity.
Marvelous Map of Oz
The road is the main connecting road for the Munchkin Village in Munchkinland. It goes to the Lollypop Guild's place, the Lullaby League's place, the Coroner's office, and everywhere else in the Munchkin village. (The Marvelous Map of Oz)
In Red Brick Road
The upcoming 2014 TV series Red Brick Road is named after this road and is expected to explore the concept of the Red Brick Road.