Hell is a realm of punishment in the afterlife, which souls were sent to by the Men with Sticks and Rope if it was decided that this was their place. It was implied by Annie Sawyer that each condemned soul's personal Hell was a room which they were locked inside forever.
After successfully dragging Annie into Purgatory, the Men with Sticks and Rope intended to send Annie to Hell as punishment for pulling Patrick Kemp into Purgatory and/or for turning down her Door and evading the Men. However, the Men were forced to cancel this and allow Annie to return to the physical plane as the Door that Annie had been taken to the Other Side through was not her own. (All God's Children, Lia)