The ancient Greeks had various ideas of what happened to heroes after death. One notion was that they went to the Elysian Fields, a sort of heavenly paradise; another was that they were ferried over the River Styx by the boatman, Charon, and into the underworld or Hades, so-called after the god who ruled there.
There was also Tartarus (although that looks suspiciously Latin, so I may be confusing the two mythologies) - "hell" - full of inventive tortures - eg. Tantalus, placed in a lake of water than drained away if he tried to drink it and with food just out of his reach. Gods can be right bastards when they put their minds to it!