It actually isn´t that easy, especially with Sovngarde.
The truth is that when a soul dies, it goes to Dreamsleeve (which is some sort of soul bank) and is again reincanated into another life. Sovngarde seems like an exception here.
But if you mean hell as some plane where you really wouldn´t want to end up after death or in life, than Dagon´s Deadlands or Vaermina´s Quegmire are certainly the right (or wrong) places.