In many mythologies and religions, Hell or the Underworld is a place where souls of wicked people go after their life on Earth. It is a real (but perhaps not physical) place which is controlled by either God, or some lesser supernatural being such as Satan. It is the opposite of Heaven, and is a place apart from God, where there is no love or kindness. The word "hell" is used in the English version of the Old Testament to translate the Hebrew word for "the grave", , and in the New Testament the Greek , Hades, and , Hebrew Gehenna. Each of those words have a somewhat different meaning from the popular English meaning of hell. In English, hell can also simply mean something very bad, as in "War is Hell".

Jewish beliefs about Hell
Many believe that Jews do not believe in Hell, but Jews really do believe. But it does not consist of eternal torture. Rather, there are lower levels of Heaven that a person can descend to considering the number of mitzvot (commandments) that they have obeyed. Gemorah writings tell the Jews of devil beliefs, but these are stories and are taken lightly. Jews also believe that Satan did exist, but he was an angel that quarreled with God, such as the story of Job.

In Hebrew the word for "the grave", Sheol, is used for the place where people go when they die. It can also mean a place of torment in the after-life, rather than a physical grave In which the body lies.

Etimology/Gehennem
Hebrew, גי הנם (ge hinnom, "Hinnom Valley") Greek, γέεννα (geenna); Latin, gehenna
  'Ge Hinnom' : Hinnom valley

It is thought that the word was derived from the Hebrew composition of "Ge ben hinnom" (the valley of the son of Hinnom) by the fall of the "ben" over time.

  'Ge' : Valley
  'ben' : Son
  'Hinnom' : Hinnom

Gehinnom is the name of the valley in the southwest of Jerusalem, where the Canaanites sacrificed their children to Baal, who was given the title Moloch or malik in Arabic.   It was used as a garbage dump, where fires always burned and so became a symbol for hell.

Christian beliefs about Hell 

In Christianity, Hell is the place the souls of people go who did not believe in God and receive the forgiveness which Jesus offers. In Hell, souls suffer and wait for the Last Judgement, a time when all people, living and dead, will be judged by God. The concept of Hell in Christianity comes from the Bible and the "casting out" of Lucifer. Jesus referred to hell as "prepared for the Devil and his angels".  In being cast out, he was removed from the God’s presence. Therefore, if taken in its most literal sense, Hell is eternal separation from God. Stated another way, to the Christian mind being separated from God is to be in Hell. Some Christians believe that Hell has real fire and flames, but others do not. Jesus spoke of Hell in several places as a punishment for evil.

Many Christian groups believe once a soul goes to Hell, it stays forever. However, some Christian groups think Hell is a temporary place that souls may leave at some point. Others believe in a permanent Hell but a temporary Purgatory. Still others believe those who do not go to Heaven stop existing instead of going to Hell. These Christians are called annihilationists.

Other religions' beliefs about Hell 

The Ancient Greeks believed that souls would go to different places within the underworld. One of those places, called Tartaros, was like Hell. The god Hades was the ruler of the underworld.
 In Buddhism, there are three types of hells, called Naraka. Unlike in Judaism and Christianity, souls are born into these places based on their karma. They spend a certain amount of time there and are then reborn somewhere else.
 In Islam, Hell is called Jahannam, and it is a place of punishment. However, some Muslims believe almost everyone will eventually be forgiven and taken to the Islamic Heaven (Jannah). The only people who will not be forgiven are those who choose to believe in many gods, or no god at all. 
 In Shintoism, Hell (Yomi) is similar to the Greek Hades, in that all souls go there, no matter their actions in life, to have a miserable existence forever.

References

Related pages
Heaven
Greek underworld
Hel (realm)
Yomi

Afterlife
Religion