Physical Hell

Hell on Earth, literally. In most cases, Hell is something you don't have to worry about unless you're on the negative side of the Karma Meter, and even then, only if you're careless enough to die. Even if it's more tangible, its usually on the other side of a Hell Gate which can be handily sealed up if necessary at a maximum of a few thousand human sacrifices to the dark ones. Then there are the unlucky worlds which have the ultimate in Crapsack Worlds in their backyards.

Usually deep underground, occupied by the physical Legions of Hell and probably making themselves felt on the human lands above them. In particularly bad cases they may be unstoppable, and the only hope is to avoid disturbing them in the first place. In more optimistic settings, some heroes may find themselves completely occupied keeping the demons at bay and stopping them from ravaging their fellow humans. Should they manage to fight the demons off, only the truly mightiest of heroes can actually take the step of invading hell, and most won't be the most stable individuals after the experience.

If the humans are lucky, heaven will also have set up shop in the region. If they're even luckier, the hapless monkeys won't end up caught in the supernatural crossfire.

Hell on Earth is when Hell was originally in another dimension, but is deciding to colonise the physical realm and create this situation. Or just kill everyone; demons are fickle like that. Mordor is related - a dark physical realm which is like hell but often isn't explicitly said or even meant to be hell, just an inherently evil land.

Film

 * Hell in Dark Angel: the Ascent was portrayed this way.
 * In Bedazzled, the Devil and George materialize in a grim, vacant city neighborhood that hadn't rebuilt from the Blitz. George wonders if it's Hell; the Devil tells him it's his London branch, pointing to his HQ, a sleazy-looking little basement nightclub.

Literature

 * Neil Gaiman wrote a short story called Cold Colours, which is about this.

Card Games

 * While not called "Hell," Magic: The Gathering's Phyrexia is pretty close. It was a series of nine spheres nested inside each other, each with a different purpose. The Ninth Sphere was the abode of Yawgmoth ("The Ineffable" to the Phyrexians) the Machine-God. This construction is an obvious homage to Dante's Inferno. The fact that it was a perversion of nature, drenched in soot, and the high-ranking Phyrexians were referred to as "Demons" only drives this point home. Cards like Priest of Gix imply that there was even a Religion of Evil worshiping Yawgmoth in the main storyline world of Dominaria.

Mythology

 * Greek mythology has Hades, which is occasionally depicted as an actual physical location accessible via various caves.
 * Thomas Hobbes was a materialist but was weary of being accused of atheism and believed in physical everything. Democritus said if matter is eternally conserved, then any combination of them will eventually be repeated - therefore the Resurrection. Physical heaven, hell, God, they're all out there somewhere.
 * A lot of people in the Dark Ages thought Hell was a system of caves somewhere, perhaps at the center of the earth. Dante's Divine Comedy bears this out: Dante accesses Hell by an entrance in the middle of a dark forest and eventually emerges on the other side of the world. According to him, Hell is shaped like a sort of funnel and located under Jerusalem.
 * Japanese netherworld used to be accesible via a cavern which was sealed shut by Izanagi after he escaped his deceased wife's wrath.

Video Games

 * Diablo's titular demon ends up creating a physical hell from the dreams of the luckless prince Albrecht, it being a separate dimension originally. Two games on and with two waves of heroes driven insane by the effort of defeating the demonic colonies, they're still there.
 * Dwarf Fortress:
 * Princess Maker 2 has a physical hell complete with its legions, though it appears to be under heavens jurisdiction.
 * Hell terrain in the Civilization IV dark fantasy mod Fall From Heaven.
 * Doom's entire plot revolves around the idea that teleportation experiments on Mars resulted in portals to hell itself, cue The Marine..
 * Scribblenauts: Just as how you can summon schools and museums you can actually summon Hell. Interacting with it produces a demon. Physical Heaven also exists.
 * Gensokyo, the setting of Touhou Project, used to have at least one of the many hells, the Hell of Blazing Fires, located beneath the ground. All you had to do was enter the cave known as the Dark Blowhole, pass over the forgotten bridge, and through the Palace of Earth Spirits. At some point though it was relocated and it's not exactly clear where.

Western Animation
"Leela: Who would've thought hell would really exist... and that it would be in New Jersey?! Fry: Actually..."
 * Futurama has a physical hell for robots, complete with a robot devil. It's built from an abandoned theme park in New Jersey.

Web Original

 * In The Salvation War, Hell invaded Earth. Earth won.

Real Life

 * Those urban legends you occasionally hear about Russian scientists in the 1980s drilling a hole to Hell, lowering down a microphone, and recording the sounds thereof. We should break through and invade them first - that'll surprise Satan!