It is the lair of the Bandit King, with three chests to find. These chests are the first chests to have the Cheeseburger and Milk to find. One of them is directly at the entrance. Once you enter, go right and you'll see a corridor with a chest.
The second is harder to get, where you'll see a Burglar (Enemy) and Bandit (NPC) facing each other. You can either fight the burglar to get to the chest, or lead him away, then jump on the chest quickly. However, Burglars and Bandits have slower walkspeed if they begin to chase you once you are in their range. This makes them decently easy to outmanoeuvre. You can jump across the bench behind the Bandit (NPC) to get across easier aswell (as Burglars and Bandits cannot get up).
The third is in the Bandit King arena. It's at the right of the initial entrance.
This place is hard to find as it is "hidden" between trees at the start of Frogville Road. There is a large wooden sign saying "Hidden Woods".