"Once upon a time, there was a place that wasn't a place. It had many names: Avernus, Gehenna, Tartarus, Hades, Abaddon, Sheol....It was not considered a pleasant place by the majority of its inhabitants; however being dead, and being there (as they imagined) against their will, their opinions counted for little. " ― The Sandman #22
Hell is the underworld of demons and fallen angels. It was once ruled by Lucifer Morningstar.
In Preludes and Nocturnes #4 of the Sandman, Dream is forced to go to Hell to retrieve his helm. It is that Hell which was continuously used through many comics, usually just cameo appearances, until it met its end in the comic series, Lucifer.
Hell was the home of the forest of suicides, to the cells where those cursed by the "gods" were kept, demons of grotesque aspect, and to the damned who were supposed to be tormented forever, usually because they thought they ought to be.
When first seen in Sandman, A Triumvirate of Lucifer, Azazel, and Belial ruled the realm. Eventually, however, Lucifer grows tired of ruling over Hell and retires, emptying the realm, and passing the key for the gates on to Dream, who then is met with numerous contenders for the possession of the Key to Hell.