After Life

In the event you find yourself dead, your character will end up in the After Life. Your first stop is the Purgatory which is almost like the DMV(Except far less annoying) where your character will end up in either Heaven or Hell depending on how they've been living it. Some who can't be placed immediately for a number of reasons end up staying for Purgatory for a while, and some even wander into the Soul Society eventually.

There is a city, of sorts that many end up staying at during their stay here. To get too and from other area's you usually travel by a special train that takes you too and from places. People placed in the Underworld are simply escorted there(after their powers are binded away) by special Fel Spirits.

The Underworld

The Underworld, as you imagined it, or a bit different. If you arrive here it must meant your character must have crossed the River of Styx that's ferried by Charon. Even if you fall into the water, eventually you'll end up in the Underworld in one place or the other.

There are different 'layers' of the Underworld that you'll go too, depending, each one guarded by two generals. It's ran by Hades(not to be confused with Greek Hades, who was killed) and his sister Hecate. It should be noted, however, that while some area's are quite barren, some are colonized as things actually live here. The Underworld is heavily populated by Demons, Devils and Fel Spirits of different types.