The Void
The Void is the location which neutral characters go when they die, and good and evil characters on their first death. It is unique to every character, as it is essentially limbo within one's own consciousness. However, the Void has also been known to be referred to at times as a physical location where certain dead characters can interact, but these interactions are very rare and only happen in very particular circumstances.
Overview
The Void is a world absent of color, devoid of life as it is usually known. Whether dead or temporarily removed from the body, some souls try or are forced to remain anchored to the living world through an object or some strong emotion. The stronger the anchor, the more similar to the real world the Void becomes, the closest becoming ghosts that can actually interact with and manipulate the material objects in the living realm.
Most that end up here have a much weaker link to their past lives and pass into a dream like state, the things they interact with and see and do existing almost entirely in their own minds. This is why those who have gone and returned somehow, whether through magic or an incredibly strong anchor (such as Keystones), often report a completely different experience from one another.
It is in this world of death, parallel to that of the living, that outside forces may seek to claim you. Those who led a generally righteous life are often guided by beings of pure light, to a golden gate with a land beyond shining with intense colors and booming with joyous music. There are others however; beings of fire and smoke that carry those souls of an evil wheel into the depths kicking and screaming. The Hell Hounds can be fought, but infrequently resisted. No one resists them forever, as they come again and again, in greater numbers.
All told, certain rituals can carry an especially "close" soul back into the living world if there is a vessel waiting. This is an especially easy process that occurs automatically for Keystone users. The Keystone uses little understood powers to preserve the users body in death, and constantly pulls and pulls at the soul until it is returned to the body. This is a natural result of the keystones unique source of power, as they are thought to draw both magical and elemental energy from all realms of existence.
Those who pass through the Void realm but return using a Keystone typically find the start of their journey to be very dream like, as they are at the furthest possible point from the living world. As they are pulled closer and closer, however, things become more similar to a black and white mock up of what they remember. They may even see other souls during this time period and interact with them.
Sheol
There is a place high above the world, in the land of Death, where those ancient souls with no place in Heaven or Hell have made a kind of paradise. A kingdom stitched together by the power of their own minds, everything a complete conjuration of spiritual energy from their dreams, this is a place of warmth and companionship compared to the bleak existence that is the rest of the Void. This place has many names and caters to many different sorts of dreamers, with the legends of Valhalla, the Elysian Fields, and Avalon among others rooted firmly within Sheol.
It is completely possible to reject the advances of the beings of light if a soul believes it would prefer life in Sheol. Whether true or misguided, this has happened many times. Perhaps a warrior, even a righteous one, would prefer Valhalla to Heaven.