Bermuda is an archipelago of 7 main islands (and more little islands) in the western North Atlantic Ocean. It is not part of what has been called the "West Indies" or the smaller group of islands called the Caribbean (within the West Indies). Bermuda lies north and northeast of those islands.
It is part of a region known as the Bermuda Triangle -- but that's not so much an official geographic region as a mythical danger zone with Bermuda, Miami and Puerto Rico as the corners of the triangle. People get worried about how many ships and airplanes have disappeared without explanation in that region, so all sorts of stories circulate about that sort of thing.