There has been a similar post to this on Grognardia (part one and part two) detailing interesting and unusual settings developed for D&D-esque campaigns. In this short post, I intend to do the same. Each of the following settings deals with the underworld, Hell, or the afterlife to some degree. Take it as expressing my greatest admiration to the creators of these wonderful settings. Enjoy!
Part of John M. Stater's Land of NOD campaign setting, this mega hexcrawl detailing the nine circles of Hell was published in John's magazine spanning over five issues (#11 through #15). The first post about the idea describes the gist of it: it is mostly based on Dante's Inferno and Burroughs' sword and planet stories. It is an extremely evocative and pretty huge setting, mainly for high level characters (all the demon lords are statted up, including Lucifer himself). One of the best things about the Hellcrawl is that it is actually "just" a fantastic wilderness with lairs, dungeons, settlements, and all sorts of things you would find in a regular hexcrawl, which makes it a more accessible campaign setting (as the game is not essentially changed, only the scenery). Under the Hell label, you can find plenty of excerpts from the articles; check them out!
Sort of an "antechamber to afterlife", the Bleaklands is where dead characters from all settings and time periods appear and try to survive, for this place is not like Kansas. The main inspirations are, as you can read in the introduction to the setting, Halloween, Dante's Inferno, and Wraith: the Oblivion. You can read more under the label Bleaklands.
Another afterlife-centric setting, this one from John Bell. Under the label Necrocarcerus, one can find a couple of posts describing the setting (or just read this particular one, and it has links to the other most important posts). The basic idea is that from twenty-one worlds, the souls of the dead appear in this vast city; everything is made of pneuma (even coins are made from the departed souls of people); and they are all part of the so-called Necrocarcerus Program, which is supposed to be a loop-hole of existence, destruction, rebuilding. This is a setting gonzo to its core; yet, the general assumptions of D&D still apply.
It is more like an idea about a setting rather than a properly detailed one, but I liked it so here it is. The basic idea is that player characters are exiled from civilisation and forced to live underground. It could be played as an underground wilderness, for example; people could forge alliances and create their own civilisation underground (like Robinson did on the island) or it could be more like a campaign of Other Dust, where each day is a struggle for food, water, and shelter.
Sea of the Dead
This setting is very similar to the Black Waters appearing in Frog God Games' Hex Crawl Chronicles: there is a vast black sea of souls, in the centre is the Black Citadel, where one can find a court of devils and the tombs of forgotten gods. Lately, the setting has been re-envisioned as a location rather than a full-fledged setting, coming into play when, say, a PC or an important NPC dies and his souls has to be taken back before resurrecting him - you know, the fantastic, never-overused trope of journeying into the underworld.
If you know about any other setting that deals with Hell, the afterlife, or take place in the underworld (mind you, simple megadungeons might not count), please write about it in the comments or drop a link to your blog where you describe it.