Parmandur
Book-Friend, he/him
http://gatherer.wizards.com/Pages/Card/Details.aspx?&name=Hell's+Caretaker
It appears hell is a thing in MtG. I think what passes for an afterlife depends on the Plane in question.
Theros has an Underworld were souls go, and a Mount Olympus type plane.
Ravnica has the world soul and Agyrm.
Innistrad offer oblivion by returning souls into the Aether, they call it the blessed sleep.
Others it's unclear what kind of after life they have.
Complicating things is the "time stream".
My impression is that Magic has always been more fluid with things like Cosmology than D&D, which I think can also be seen in how 3E and 4E treated Cosmology.