The Underworld

The Underworld, also known as Hell, is a dimension where the souls of the deceased travel to after death. Joanna and Wendy's sister Helena Beauchamp lives there and she is presumed to be the ruler of the Underworld.

History
When Freya was killed by Tarkoff, her soul was sent to the Underworld where she found herself being ferried across a river in a boat. When Wendy sacrificed her last life for Tommy, her spirit woke up in the Lake of Fire and was greeted by her sister.

The River Styx
The River Styx is a river that forms the boundary between the Earth and the Underworld. The River is described as "dark, foggy, and really creepy". Souls of the deceased that have recently died are transported across the river via a boat which leads them deeper into the Underworld.

The Lake of Fire
The Lake of Fire is a place of destruction for the Wicked. Wendy Beauchamp was transported here after she sacrificed her last life to save Tommy, but this is the first time she's been there, as every time she dies she would travel through the River Styx but come back to life before traveling farther. The souls of the deceased spend eternity here. It is a place of eternal destruction and torment.