I researched this very topic 3 years ago. I hope this helps.
Gehenna, or Hinnom, is a valley south of Jerusalem where the backslidden, idolatrous Jews at certain points in history sacrificed their children by fire to Molech and Baal. This valley later became the "garbage dump" of Jerusalem, and it is said that fires were kept constantly burning for the destruction of the filth thrown there. In most of its occurrences in the NT, Gehenna refers to the place of the lost.
Hades is the Greek word used to denote the unseen place of the dead. All the dead go there. However, there is a separation in that the evil dead are in torment while the righteous dead are not (see Luke 16:19-31).
Sheol is the Hebrew word for the place of the dead. As with the Greek Hades, all the dead go there. It is the abode of both the righteous and the unrighteous dead (Psalms 9:17; 16:10; 30:3; 31:17 are just a few references). Sheol is described as dark (Job 10:21-22), deep (Job 11:8 ) and barred (Job 17:16). The dead also go down to it (Numbers 16:30, 33; Ezekiel 31:15-17).
Did Christ descend into hell? The answer is both yes and no. It depends on your definition of hell. Jesus did go to the grave as in the abode of the dead. While on the Cross, Jesus promised the penitent thief they would be together in paradise that very day (Luke 23:43). I have found no evidence to support the theory that Jesus went into the part of Sheol/Hades where the wicked are tormented.
Christ was the first to break the bonds of death and the grave. He rose from the grave. Many think that when Christ conquered the bonds of death and the grave that He led the righteous dead to another place prepared for them. Christ had to be the first to conquer the grave or else His death and resurrection would not have been needed in order for OT saints to be rewarded. God had something better in mind for them (and for us), so the righteous dead were held until Christ came to free them (see Psalms 68:18 and Ephesians 4:7-10).
If, in fact, there is a new paradise where the righteous dead go, where is it? Many of today's fundamentalist Christian churches teach that it is "up" but can't say exactly where it is. The fact that Jesus ascended when He left the earth (Luke 24:50-53; Acts 1:9-11) gives credence to this idea. In John 6:62 Jesus is spoken of as ascending. Romans 10:6 speaks of ascending into heaven. 2 Corinthians 12:4 speaks of being caught up to Paradise. And in 2 Corinthians 5:6-9 Paul speaks of being "well pleased rather to be absent from the body and to be present with the Lord" (2 Corinthians 5:8 NKJV), indicating that, when we die in Christ, we go to be with Him.
Many think that Christ gave a second chance to those who were lost and in the grave, but I find no evidence that this is so. Look at the story of Lazarus and the rich man once again (Luke 16:19-31). Did this event actually occur? I don't know. But whether Lazarus and the rich man were real people or not doesn't really matter. What does matter is the truth that Jesus taught through this parable. Once we have passed from this life into eternity, there is absolutely NO WAY to go from one place to the other. If we could go from one place to the other, everyone who ends up in torment would elect to go away from that terrible place. Everyone. Period. And if this were an option, it would mean that no one would receive their "just deserts" after death. It would make Christ's death and resurrection of absolutely no consequence. And since there is no way for us to go from one place to the other after we die, the ideas of purgatory and praying the dead "out of hell" are soundly disproved.
There will be an eternal "lake of fire" created at a later date. The grave (Sheol/Hades) will give up its dead so that they may face the Great White Throne Judgment at the end of the world. Those whose names are not written in "the Lamb's Book of Life" will be sentenced to an eternity of fire and torment along with Satan and the fallen angels (Revelation 20:11-15). This place does not exist yet, but its permanence and the scope of its torment are a future reality.
