Well, why do characters worship evil deities (or live evil lives) if they fear damnation to the lower planes?
1. For mortal power. People can be really short-sighted, and selling their souls for some magical power, wealth, political power or the like during their mortal existence is quite plausible. This goes double (or more) for anybody who thinks they can cheat their final death through lichdom (or becoming a vampire, death knight or other intelligent undead) or other magical means of extending lifespan.
2. Better to rule in Hell than serve in Heaven. Others have said it, and it's true for many people. Who said that the souls of the wicked spend all eternity cast into hellfire? That's for the noobs or the people with evil souls but not enough drive to get ahead. Those with some potential for real evil (or made a deal before they died, book early and avoid the rush) could end up promoted to being various kinds of fiends. Become a devil, daemon or demon, start out on the bottom, but after a few centuries (or millennia) you might end up as a Balor or Pit Fiend yourself. In Forgotten Realms, there are even fiendish "recruiters" that roam the realm of Kelemvor, the God of Death, and offer some evil souls good deals with becoming fiends to get out of their just desserts that will come when they end up in the realm of their deity soon (or those who didn't follow any god or denied the gods in life, thus dooming their soul to an eternity as a building block in Kelemvor's Castle). Better to be a devil than a cinderblock in the afterlife.
3. They just plain don't care or don't think about it. I can't go too far on this for real world religious reasons, but there are several real world religions that have doctrines or teachings about an afterlife but de-emphasize or almost completely ignore those aspects. Lawful Evil religions bury the stuff about eternity in Baator in the fine print, while Chaotic Evil ones have a "live for today!" teaching that tells you not to worry about what happens afterwards.