I will let someone else answer this properly. But briefly: the existence of different characteristic phenomena at different scales - different length scales, or equivalently, different energy scales - is one of the basic ways that particle physicists organize their thinking, about known phenomena and about possible phenomena. The different known scales can generally be associated with particular quantities - particle masses, coupling constants - which are just free parameters in field theory, but which in string theory should derive from geometric properties like brane volumes and interbrane distances.
In field theory, one speaks of "effective field theories" which are only valid over a certain range of energies. There is a highly developed understanding of the relationship between EFTs at different scales, due for example to Kenneth Wilson's work on renormalization. String theory is much less understood, but there are some striking insights already, such as the correlation between energy scale and depth in an extra holographic dimension (in AdS/CFT), or the new constraints on EFTs coming out of Vafa's "swampland conjectures" (the landscape is the possible physics you can get from string theory, the swampland is all those field theories which cannot be obtained from strings).
We have a well-established theory, the standard model, which appears to be valid at least up to the highest energies the LHC could measure. (Higher energies equals smaller scales.) It was once widely believed that there must be new particles at those energies - something in addition to the Higgs boson, such as supersymmetry - because of a kind of extreme sensitivity of the Higgs boson mass to any extra physics. This sensitivity could be minimized if extra physics happened at scales close to the standard model, and in a symmetrical way.
But nothing like that has been seen, and meanwhile the Higgs mass was successfully predicted by Shaposhnikov and Wetterich, using an unorthodox framework (asymptotic safety) in which there is no new physics between standard model scales and the Planck scale. Also, some other conventional and well-motivated ideas for new physics at intermediate scales, like "grand unification", have failed to show up.
One could therefore argue that the evidence now slightly favors the existence of no new structure - a "desert" - between here and the Planck scale. But this is not a conventional view, and the majority of theories still introduce something new... The possibilities are very broad and difficult to summarize; as @knzhou implied, this encompasses thousands of speculations made since the 1970s, when the standard model came together.