A Deployment Target is simply a machine or a service (either on-premises or in the cloud), you are going to ship your software to.

To add a Deployment Target go to Infrastructure -> Deployment Targets and click ADD DEPLOYMENT TARGET

Octopus supports eight types of deployment targets including Listening Tentacles, Polling Tentacles, SSH Connections, Offline Package Drop, Cloud Regions, Azure Web App, Azure Cloud Services and Azure Service Fabric Clusters:

Choose a hostname and a port (10933 by default) to connect to a tentacle:

A deployment target has a name. In addition to that it is mandatorily linked to an environment and has a role: