When we're talking about archetypes, the woods are almost going to represent impending danger or evil. Goodman Brown has left the sanctuary and safety of home with his literal and figurative Faith (meaning Faith the wife and faith as in his spiritual well-being). The woods are representative of evil and temptations -- he meets the devil there. He sees those in his community for who they seemingly really are there. The devil figure tells Goodman Brown he has met previous members of the Brown family there in the woods, meaning they too were tempted. They too walked a bath that was not always in faith. The walk in the woods is a walk in temptation. They are walking to the conversion ceremony (though it's important to note that Brown starts running to the ceremony once he thinks he's lost Faith).