Many RPGs have a complex interactive series of planes of existence that span a cosmos consisting of all possibilities. I feel that defining these this too much can completely remove the mystery and awe of the cosmos. Also, unless a character has trained in the esoteric skill of Cosmic Lore, what the player thinks they know is what the character knows. A few examples of these otherworlds are listed below.
A place of mists that holds the key to infinite travel. The Aestheral connects all places through vast grey plains and undulating tunnels. Those refusing to go to or getting lost on the way to the Deadworlds end up here and become ghosts. Some say that the lost and forgotten gods lay down here to die and the substance of the place are the tears of their loss and sorrow.
A place of raw magic and terrible demons. Those that cast arcane spells are said to draw magic from the Patchwork. Those in the know say that the Underworld Dungeons are a living extension of the Patchwork. Touching the Patchwork changes a man forever, always for the worse.
The Goblin Kingdom
The fat and grotesque Goblin King commands a vast army of goblins, each one a stolen child that has mutated from the violent radiation storms that sweep the land. The Goblin Kingdom exists in the real world, but is not part of the real world. Goblins well up and swarm into dungeons and other dark places, such as under beds.
Imagine a series of lace shawls stack atop one another - some with gaps that the layers above dip into, great gaps of nothingness, and tangles threads of a dozen different patters in tight frustrating knots. These are the worlds of the dead that linger at the edges of the real world. Necromancers reach here to find and bind souls that wander the endless mazes. Even ideas and gods that have been long dead can be resurrected from the deadworlds if one knows how.
A countryside covered in mist under the shadow of an imposing mountain covered with the towers of a mad lord. Small villages dot the landscape. Everything is abandoned and you are utterly alone ... except for those that are watching you. Those that want something from you. Other than the Goblin Kingdom, Ravenlost is a place that frightens children - it is where those who wander off the path, those who disobey, and those who don't finish their dinner end up. Alone.
How Does It Fit Together?
However I need it to at the moment. The cosmos isn't a place for random wandering and exploration. It isn't a list of places to visit and kill the locals. It isn't something that a character could truly understand. It is mysterious. It may not exist. It obviously does exit. Different regions have different beliefs - not only in the cosmos but in the gods, afterlife, and so on. Some of them might be right. Others not. Or maybe they all are!
The whole point is that the cosmos is a place of mystery and strangeness and possibility. Too many hard facts and the Infinite Ghostmarch is just another location that PCs can get to by some magical portal rather than by horse.