The Gate of the Worlds is a name given by the unicorns to a mystical power, allowing one to traverse space and time.
Eredin and Avallac'h are known to have once possessed it (with tragic consequences for the human race), and are now trying to retrieve it. It seems to be an innate power for the unicorns.
Ciri is a prominent user of that power, having travelled through numerous times and dimensions (for example, she seems to appear in renaissance France and other parts of Europe during the medieval era, where she meets Teutonic Knights) who give her the title of "The Lady of the Worlds".
Alvin is also likely to have possessed it to some degree.