This Philistine lords were likely gathered at a Philistine palace, or temple, as suggested by the reason they gathered: to offer a great sacrifice to Dagon their god and to rejoice.
It is festival time for the Philistines! Their gathering was most likely at a temple in Gaza since Samson must have been close by when he is later brought before the crowd. This is an anti-climax to how the story of a judge ought to have ended, with a festival to the Lord for victory. Instead, the judge’s defeat is being celebrated.
23 Now the lords of the Philistines gathered to offer a great sacrifice to Dagon their god and to rejoice, and they said, “Our god has given Samson our enemy into our hand.”