She'ol

Sheol (Hebrew שְׁאוֹל Šəʾōl) or Hades  (Greek: ᾍδης Hádēs) is a great spiritual realm of despair and ungodliness beneath the surface of the Earth. Sheol is a prison for many different types of spirits. All human souls are destined to Sheol by default as a result of their sinful nature. The only way to save one's self from damnation in Sheol and destruction in Gehenna is to repent and accept Jesus Christ into one's heart.

Sheol is not an eternal punishment, but rather a holding place. At the Last Judgment, it is believed that Yahweh will revive the dead that are stored in the underworld and destroy both their mortal bodies and spirits in divine fire alongside the devil and his armies.

Tartarus (The Abyss?)
Tartarus (/ˈtɑːrtərəs/; Ancient Greek: Τάρταρος, Tartaros) is the division of Sheol or a realm like Sheol in which specific fallen angels and heavenly beings are imprisoned.

While most demons roam the Earth in the invisible spirit plane, there are specific groups of fallen angels that were sent to Tartarus to await judgement. The Watchers for example were cast into Tartarus after mating with human women and giving life to the Nephilim. The angels imprisoned in Tartarus are bound in chains and are forced to remain their until the Final Judgment when they are to be cast into the Lake of Gehenna.

During the End Times, a great fallen angel named Abbadon (Hebrew for "the Destroyer") will be freed from Tartarus and will wreak havoc.

Dudael (The Abyss?)
Dudael (Heb. דּוּדָאֵל, compd. of dud דּוּד "kettle", "cauldron", "pot" + El אֵל "deity", "divinity" — lit. "cauldron of God") is another division of Sheol (or place like it), though it is unique in nature. It is only inhabited by one entity, that being Azazel, where he awaits the Final Judgment where he and his fellow Watchers are to be cast into Gehenna. Similar to that of the Watchers in Tartarus, the punishment for Azazel in Dudael is binding by chains and total darkness and separation from God and all other creatures of the universe. It is possible that Dudael is the Abyss and Azazel is the Destroying Angel.

Gehenna
Gehenna (Greek: Γέεννα, Aramaic: Gēhannā ܓܝܗܢܐ, Hebrew: גהנם‬ Gehinnam or גהנום‬ Gehinnom, meaning "Valley of Hinnom" or "Valley of the son of Hinnom") is an ocean of divine fire that all ungodly beings damned in Sheol will be cast into at the Final Judgement. Gehenna, which is also called the "lake of Fire", is a great place of literal holy fire that will completely destroy not just the body but the soul of those who bathe in it's flames. It is believed that the amount of time a being will burn in Gehenna is dependent on their total of sins committed. Each "second" of pain is punishment for each of the being's collective sins. For each sin the being will burn until they have paid for all of their sins, in which case they will then cease to exist. Just like for the saved humans, the humans cast into Gehenna will be reunited with their bodies so that they may experience physical as well as spiritual pain. The demons, including Samael, will too be thrown into the great fire and be destroyed. Samael will have the longest time in the flames and will suffer the greatest.