Originally I kept things vague to my players, but high level DnD tends to lead to planes-hopping or at least visiting other planes, so that ends up with some stuff getting nailed down. Or defined, at least, for the moment. I do like my players to have the feeling that they have some idea of the world, setting, planes, n' such- some of them really jive with that. On the other hand I don't want to be restricted to the definitions that they've made previously about such places.. so it's complicated.
Basically I take inspiration from a bunch of things: great wheel, eberron, elder scrolls, pillars of eternity, michael moorcock, MCDM ... whatever's cool and can mesh together in my head.
Some stuff becomes vestigial over time as my tastes change or as other needs arise: I ran a campaign in my setting's local version of Sigil, but I'm a lot less enamored with that place now that we finished that game... so I might just axe it, or change it.
In one campaign the players traveled to the City of Brass and found that it was a place where many magic items could be bought, acquired, won etc. and that soon became a destination in future games (because I try to avoid magic shops in games)... but I really didn't love the idea of being able to so easily acquire powerful magic (once they could plane shift), they were even fine risking their characters lives (and thus sort of the campaign) in a death match arena there for powerful magic prizes... so I have since steered away from that, and I think if it does come up there'll either have been a regime change which will makes things tougher for mortals there, or I'll need to have a hard look at some city of brass sourcebooks (I have a couple different ones :'D) to get a more concrete idea of how other folk have handled it.
All that to say... it's flexible.
I guess I can give an actual answer to this:
Three moons (yup dragonlance inspiration): red blue and silver. Rana the Silver's always been there. Kaxtros the Red and Aurelios the Blue only showed up some centuries ago.
silver: natural world, elysium-type stuff, beastlands, etc. it's also where Tanelorn can be reached (hasn't happened in a game but it has been referenced), and it's home to Axis the Vailed City (Sigil-analogue).
Aurelios the Blue is where the celestial realms are located, the plains of celestis, etc.
Kaxtros the red is where hell and the abyss are- the hells are technically nine massive chains that bind the red moon together, the abyss is inside the moon and its surface is the battleground.
Then there are other worlds/planes that aren't exactly great wheel-related. i took some from EN's A5E Planestrider's Journal, some from monte cooke's planebreaker, and some from old earth mythology (like Poul Anderson's Broken Sword fey realm).
From Matt Colville and Eberron I took the idea of shifting distances, where the different worlds change position and distance from the mortal world and that affects how easy they are to reach, and how time flows there relative to the mortal world.
You'll notice the red and blue moons only showed up centuries ago... that's because they're supposedly the two ascended human gods; there was an absence of deities because of the elves' enslavement of the lands in the previous age, and the whole divine cycle got borked up, so these two brother-emperors went out and fixed it by becoming gods. previous ages record pantheons, many gods, but this "age of man" only has the two brothers and their saints/harrows.
And yeah, the appearance of the two moons really borked up the world. cataclysm-type stuff. So it went from roman empire-type stuff to post-apocalypse dark ages really fast, now feudal kingdoms pick up the pieces.