That seems to be a metaphysical hell reserved for people who've committed acts of grieveous wrong, like Arthas and undead Sylvanas. Sylvanas' first death was described in the Arthas novel as being very pleasant.
Both deaths describe a 'black void of nothingness'. The only difference is that in the novel Slyive describes a warm sensation flowing through her. We dont know what she felt at all during her second death, just what she saw which matches the imagery of her first death right on.
And considering her new position as leader of the Forsaken she might have wanted to come back to life more the second time around then the first, hm?