Underworld is a hell where every single soul-scum goes after their life. Even though its a bad world full of evilness, it's filled with minerals and stuff what's just waiting for it's toker. Of course, becouse you're at hell, every single creature at there wants to kill you and steal your life force. At Underworld, there's some monsters to kill and Devil to destroy.
From Underworld, you can find Death too. He's laying at Underworlds underground afterlife fortress and you can help him with doing jobs for him. After you have heped him you can get armors and tools from him. He'll give you "afterlife" so you can spawn where you died (If you want).