Welcome Harry To Diagon Alley!

A cobblestoned shopping area for the wizarding world, where Hogwarts students can purchase necessary supplies."

—Description of Diagon Alley 

Diagon Alley is a cobblestoned wizarding alley and shopping area located in London, England behind a pub called the Leaky Cauldron. Inside the alley is an assortment of restaurants, shops, and other sights. All items on the Hogwarts supply list can be bought at Diagon Alley. The alley is completely hidden from the Muggle world which is right outside of its boundaries. It is very large in area and essentially the centre of wizarding London

History

Early history

The Leaky Cauldron was present long before Charing Cross Road was even planned in the nineteenth centery; its true address is number one, Diagon Alley, and it is believed to have been built some time in the early 1500s, along with the rest of the wizarding street. It is a popular historical theory that the second oldest building in Diagon Alley is Gringotts Wizarding Bank and that the other shops grew up around it. However, there is a possibility that Ollivanders is the oldest building, records dating back to the early fourth century B.C.
When the Statute of Secrecy was imposed Diagon Alley was hidden by the use of many powerful spells of concealment. The then Minister for Magic, Ulick Gamp agreed to give the landlord of the day present at the Leaky Caluldron responsibility for letting people into Diagon Alley from his back yard.
In 1926, one of the shops in Diagon Alley was burgled with the help of a Four-Headed Bird.

Harry Potter's first visit

"There were shops selling robes, shops selling telescopes and strange silver instruments Harry had never seen before, windows stacked with barrels of bat spleens and eels' eyes, tottering piles of spell books, quills, and rolls of parchment, potion bottles, globes of the moon..."

—Harry Potter visits Diagon Alley for the first time

Diagon Alley in the films

Harry Potter's first visit to Diagon Alley with Rubeus Hagrid marked his re-introduction to the wizarding world. Harry's first stop was Gringotts Wizarding Bank, where he encountered Goblins for the first time. After obtaining money from the bank Hagrid helped Harry shop for his school supplies and purchased Harry's eleventh birthday present, the snowy owl Hedwig, from Eeylops Owl Emporium. Harry also purchased his wand from Ollivanders. When visiting Diagon Alley Harry remarked that he wished he had more than one set of eyes to be able to take in all the sights the alley has to offer.

Return of the Dark Lord

"The colourful, glittering window displays of spellbooks, potion ingredients, and cauldrons were lost to view, hidden behind the large Ministry of Magic posters that had been pasted over them... A few windows were boarded up, including those of Florean Fortescue's Ice Cream Parlour. On the other hand, a number of shabby-looking stalls had sprung up along the street."

—Description of Diagon Alley's gloominess

Death Eaters maniacally attack shops and kidnapping Ollivander along Diagon Alley in 1996

In 1996, the return of Voldemort affected the appearance of Diagon Alley dramatically. Wizards and witches no longer felt safe wandering out in public. The once-crowded streets stood virtually empty, the few shoppers staying together in groups; "Wanted" posters with the faces of Death Eaters plastered the fronts of once-bright shops and street stalls popped up, hawking "protective" amulets and charms.
Ollivanders and Florean Fortescue's Ice Cream Parlour were closed.

Source: http://harrypotter.wikia.com/wiki/Diagon_Alley