As we go higher above the surface of the Earth, the value of acceleration due to gravity decreases. But for those heights which are very small when compared to the radius of the Earth, g (and hence mg) can be assumed to be constant.
Consider a body of mass 'm', lying on the surface of earth at a place where the value of gravity is 'g'. The weight mg acts vertically downwards. To lift the body, a force 'mg' is required to be applied in the upward direction. If 'h' is the height through which the body is lifted, then work=mgh
This work done, is stored in the body as gravitational potential energy. To be more precise, mgh is the energy of the Earth - Body system.
The potential energy at a point depends on the reference level. However, the difference of potential energy between two points is independent of the reference level.
