Through out the course of the show multiple dimensions have been shown or referenced
Avalon is not an afterlife, but rather another dimension with a multitude of various magic using creatures, and also where Oz is located.
Heaven is the home of worthy souls and Angels.
Hell is where wicked souls are tortured until turned into demons and also home for demons and other demonic spirits/entities.
Purgatory was created to keep the Leviathans locked away, until the creation of other monsters and Purgatory became the afterlife for them too.
Universes were either created directly or indirectly by God. Universes are most popular for God's recent species, Humans.