We do not include Shakespeare in our list of literary hereafters. However, Hamlet's father's ghost delivers a fragmentary account of Purgatory. Further, in Poul Anderson's AMidsummer Tempest, the Shakespearean Hamlet really existed so this version of Purgatory must have been real as well. However, the Shakespearean timeline is only one of many and the others can have different hereafters - an idea that could never before have been imagined!
Fritz Leiber wrote a neat ghost story: the actor who is supposed to play the Ghost in Hamlet is drunk back stage while the Ghost appears on stage... But I did not like the resolution.
I am currently lost in a fictional account of a bizarre multi-dimensional hereafter. For this and for my thoughts on the idea of a hereafter, see here.