Rough is designed to be punitive to players who miss the fairways. It can vary in height and thickness depending on its location on the course, and often is found around bunkers and greens in addition to fairways.
The "first cut of rough" is a term applied to rough just off the fairway that is higher than the fairway but lower than the "second cut of rough." You guessed it - the "second cut of rough" is the really thick stuff.
Most upscale courses use a "first cut" and "second cut;" many others simply have one variety of rough throughout the course.
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The rough is really bad left of the No. 15 fairway, don't miss it over there.