'We need to go deeper...'The Underworld is a Hell-themed area that you can find when going down the big hole at The Hole Temple.
LAVA. LAVE EVERYWHERE. IT BUUUUUUURNS.
There is also an elevator the takes you back up the big hole you had to fall down to get there.
Fiery Hens can be found here, though not much else.
Hell Slimes and Rock slimes can be found here. Tarrs can also spawn at any time.