To wrap things up, how exactly are these worlds connected? Mortals seldom are able to reach the plane and travel to the immortal worlds (as well as Heaven and Hell), while immortal* beings are free to move as they please.
A lot of the characters in these four stories overlap. A character with a major role in one story may play a minor role in another story. I've always liked to write about interconnected worlds and ideas, so this was a really fun universe to design (back in the day).
Originally when the immortals are born, they are given one of seven talents (the ceremony of seven talents), where they will then enter schooling. However, some immortals fail to receive a talent, and are deemed unfit for schooling in the immortal world. They are usually sent to the mortal world to live as a human, and will eventually age and die like a human, unless for some reason they are summoned back to the immortal world.
Heaven and Hell are difficult places to enter. Human souls are dispersed to one of two locations upon death, but are not forever stored. There are beings that exist in either plane which live there. Heaven is home to angels, most types of kind fairies, and light-bound mythical creatures (think unicorns, pegasus, griffin and stuff). These creatures are often selfless and kind (though some fairies can be rather mischievous and most tend to move to the immortal or mortal world to live where they can cause more chaos without punishment). Heaven is currently ruled by an angel named Melodi (Melody?) who is rumored to have a beautiful singing voice.
The stairs to heaven only appear for one who is able to enter.
In contrast, the gates to Hell appear at all times, but is guarded by a three-headed dog who can shape-shift between different breeds of dogs and wolves. He's actually really kind (Zoey the demon actually loves playing with him), but he takes his job as guardian seriously and will fight anyone who tries to enter the gates of hell but can't (i.e. a mortal non-soul or an angel). Hell's inhabitants include demons, werewolves, vampires, and other non-immortal creatures of the night. Many of the monsters in the immortal world have origin in the fires of Hell. The weather is alright. It's gloomy and depressing all the time (grey-red skies, as if everything is constantly burning), but the air isn't too bad.
*In the context of any of my writing, "immortal" beings mean that they can live forever if nothing kills them. They are not death-resistant. Some immortals live so long and suffer through many traumatizing events that they choose to commit suicide (Hence the Hanging Trees -- will be further explored in Fantasy 2).