A World Gathering (WG) is a Mensa gathering which is intended to draw members worldwide, rather than just from one country or region. The distinction is somewhat arbitrary, since in general gatherings of all sorts allow and even encourage members from distant places. However, a World Gathering is explicitly designed to be international in scope.
So far, only one explicitly-designated WG has been held, the 2006 World Gathering at Walt Disney World in Orlando, Florida. Several other gatherings, such as Mensa's Diamond in England, have had an international flavor (sometimes in conjunction with the celebration of an anniversary of Mensa), but were not given this specific designation.
The 1964 Annual Gathering of North American Mensa, only the second AG to be held by North American Mensa (which would later split into American Mensa and Mensa Canada), was designated the "International AG", implying that it was seeking participation from multiple countries. Various later gatherings have been joint gatherings of more than one country, such as joint American / Canadian AGs. The European Mensas Annual Gathering and Asian Mensa Gathering are also transnational.