Kaios are a race which comprise the upper-level gods in the Afterlife.
There are five Kais for each galaxy. Four of them are given the job of controlling a particular quadrant of the galaxy each, and overseeing the local deities on each planet of their part of the galaxy. They are called the North Kai (King Kai), the West Kai, the South Kai, and the East Kai. The fifth one is a Grand Kai who oversees them all and rules over the entire galaxy.
Above the Kais there are Supreme Kais who each rule over a quadrant of the entire universe, with a Grand Supreme Kai over them and who rules over the entire universe.
The Kais live in the Afterlife, or the Other World. It should be noted that they are among the few living residents in Other World. They are considered immortal, in the sense that they refer to residents of the living world as "mortals," but can still die of unnatural causes, however since they are already in Other World it doesn't really affect them in the long run.