The Underworld

The Underworld is often a gloomy, depressing realm, if only because it is often depicted as being Beneath the Earth. (The fact that people go there after they die might have something to do with it, too.) Still, it isn't evil. It's not Hell. All of the dead come here, whether they were saints, total jackasses, or just kinda so-so in life. Some versions of the Underworld judge the dead and grant them different living standards (or unliving standards, if you prefer) depending on their conduct in life. In others, there's no real judgment, and life—or whatever—continues much as it did before. Possibly they receive, in due course, a chance to go back.

See also Heaven and Hell, the Underworld's more exclusive counterparts. Despite its normally neutral nature the Underworld, especially the Greek Mythology version, is susceptible to being Hijacked by Jesus and becoming Hell. Expect intrepid mortals to mount an Orphean Rescue for a loved one.

Examples of The Underworld include:

Film

Beetlejuice has the Neitherworld, which is pretty much the Underworld, with a Waiting Room From Hell.

Literature

In Ursula K. Le Guin's Earthsea, the the Underworld is characterized by strange stars and total lack of water. Late in the series, it's revealed that it's the result of a botched attempt at Immortality.
In His Dark Materials, God is a pretender who created an afterlife of near non-existence, where no one was happy; murderers and saints and poets and beggars all went to the same miserable, grey place.
Percy Jackson and The Olympians uses the underworld several times.
- Massacred in the movie, turning it into a clear Fire and Brimstone Hell.
In Robert E. Howard's "The Phoenix on the Sword," Conan the Barbarian describes his people's gods: "Their gods are Crom and his dark race, who rule over a sunless place of everlasting mist, which is the world of the dead."
- In "The Slithering Shadow", Natala is convinced that she and Conan have died, so strange is the city they find themselves in.

Oral Tradition, Folklore, Myths and Legends

In Greek Mythology, the Underworld is Hades, the realm of the god of the same name. Depending on their conduct in life, the dead can end up in the Elysian Fields, which are basically paradise, in the Fields of Asphodel, where they just sort of...hang out, or Tartarus, whose inmates are tortured for all eternity for crimes against the gods.
In Japanese Mythology, Izanagi, the father of the gods, went to underworld to recover his wife, Izanami, after she died, but ran in terror from her when he saw she was now a rotting undead. Bizarrely, his son, the god Susano-o, on finding out his mother was there, just went to the underworld to live with her like nothing was wrong!
In Mesopotamian Mythology, the dead go to Irkalla, ruled by Ishtar's Darker and Edgier twin sister Ereshkigal. Ishtar tries to take over. She isn't successful, and in fact loses her beloved husband Dumuzi for six months out of the year. Sort of karmic payment for stealing Ereshkigal's husband and getting him killed.

Tabletop Games

Exalted's Underworld didn't exist until the titular Exalted Divided By Zero by killing the creators of the universe, who had never designed the world with mechanisms to cope with their deaths. The result was a gaping hole in existence, the Well of Oblivion, around which the remnants of the dead Primordials, the Neverborn, gathered, and a shadowy reflection of the living world formed.
The Underworld in the New World of Darkness is where ghosts who never resolve their Unfinished Business end up. It's divided into the Autochthonous Depths, a massive underground labyrinth that bears a vague resemblance to the underworld myths of the nearest living civilization, and the Lower Mysteries, which are alien realms governed by strange laws enforced by the Kerberoi.

Video Games

In the Fall From Heaven backstory, most souls go to an underworld like place when dead.
The underworld map in the Fantasy game of Civilization 2: Test of Time.
The Underwhere of Super Paper Mario is actually very close to how the Underworld works in Greek Mythology. The dead that you meet there are even called "shades", and they'll tell you about how they lost their last life to spike pits. Aside from being darker, it's really not that bad of a place. (Unless you decide to take a dive into the River Twigz...)
The protagonist of Terranigma actually starts in the Underworld.
The Netherworld in Romancing SaGa. It also has Purgatory, a realm for those who choose to retain their memories of life until they abandon them and become reincarnated.

Web Original

Karzahni in Bionicle, where Matoran used to be sent to for repairs. Unfortunately, the ruler, also named Karzahni, didn't do a great job, so he sent some the badly repaired Matoran away from their islands or kept them. The Turaga realized Matoran weren't coming back, so they stopped and told stories of Karzahni as a scary place where lazy Matoran were sent to.

Western Animation

The Underworld in Hercules, based as the entire movie is on Greek Mythology.