Eä was the universe, created by Ilúvatar. The word simply means "to be" in Quenya.

The World was originally revealed to the Ainur as a vision, and the things of that vision were granted true existence when Ilúvatar uttered the word Eä.

Eä is comprised of everything created in Arda and Ilmen (the heavens).
Encyclopedia entry originally written by Mirlomien