Some phones are designed to work in multiple parts of the world. Since GSM is the most prominent digital technology used worldwide, that technology is generally required in all "world phones".
Since different radio frequency bands are used in different parts of the world, world phones must support more bands than those designed for just one region. Europe and Asia use GSM in the 900/1800 MHz bands. World phones sold in the US must support the appropriate US networks (GSM 850/1900 or CDMA 850/1900) plus the European 900/1800 frequency bands.
Most of Africa and parts of Asia use the same bands as Europe. This enables world phones to operate in most parts of the world. If the phone also supports GSM 850/1900, that provides coverage in South America.
Japan and Korea are unique. A US world phone generally must include WCDMA 2100 mode to work in those countries (although some US CDMA phones can operate in Korea with a special configuration.)