In Star Trek, a gravity well is a distortion of the space-time continuum caused by an object with mass, which can be conceptualized on a two-dimensional surface as a depression: the "well". The curvature of the well corresponds to gravity.

The Bajoran wormhole has its own gravity well. After a carrier wave emitted from the newly established wormhole relay station created a subspace inversion in the wormhole in 2371, its gravity well increased by a factor of three. (DS9: "Destiny")

The Dyson Sphere had an immense gravity well, not least due to the star at its center but the mass of the structure itself. As no radiant sunlight light or solar wind escaped from the sphere, starships were not able to detect the sphere until they were almost on top of it. As a result the sphere's gravity well came as quite a shock to both the USS Jenolan in 2294 and USS Enterprise-D in 2369, so much so that the former was pulled in and crashed on the surface. (TNG: "Relics")

In 2369 two Quantum singularity lifeforms came into this space-time continuum to save their young who were trapped in an artificial gravity well, the engine core of the Romulan warbird. The aliens need a natural gravity well to incubate their young and thought the engine core was a natural one. (TNG: "Timescape")

Gravity wells are an actual concept in physics. In physics, a gravity well is the gravitational potential field around a massive body - the pull of gravity that a large body in space exerts. Physical models of gravity wells are sometimes used to illustrate orbital mechanics. The larger the body (the more mass) the more of a gravity well it has. The Sun has a large (or deep) gravity well. Asteroids and small moons have much shallower gravity wells. Anything on a planet or moon is considered to be at the bottom of the gravity well. Entering space from the surface of a planet or moon means climbing out of the gravity well, something that often takes a huge amount of energy. The larger a planet or moon's gravity well is, the more energy it takes to achieve escape velocity and blast a ship out of its gravity well.