This post will probably be fairly short, but the topic has been on my mind recently. So, first of all: Deities.
Now, deities in a game should be more than just a bunch of Roman, Greek and Norse gods that have been put straight into the setting, and no more of the cliches, such as the barbaric god of war, and the nice goddess of healing who requires that none of her followers take another life.
Let's look at the Greek god of healing, Apollo. So, he was the god of the sun and of healing. All good so far, a bit disjointed, maybe, but it is all fine. But, despite being the god of healing, he was not a nice god, as such. My older brother, who is a fanatic of Greek and Latin texts, once sent me a Greek poem (I believe), where the poet first praised Apollo for his might, and then talked about how much he feared him, as Apollo actually meant 'the destroyer' in Greek, related to such words as apocalypse. The Greeks saw him as such because, if he had the power to restore life, then he clearly had the power to take it away as well.
Another example of a more fleshed out deity is the Akkadian goddess Ishtar, the goddess of war and sex. At first, these two domains seem quite unrelated, yet they are: To the Akkadians, it was related in the creation of life through sex, and the violent and quick end through battle. Sort of related. So try to spice up the deities in whatever game you happen to be playing like that.
Now, underworld. I am just going to use the Akkadian underworld as an example for how much better underworlds can be, far more than just another fire-and-brimstone hell, and flowers-and-happiness heaven place.
I would put up a passage from the Epic of Gilgamesh, where Enkidu has a dream and sees the underworld, but I cannot be bothered finding the book, so I shall just give a brief description:
The Akkadians called their underworld the House of Darkness, and, indeed, it was always shrouded in shadow, where the souls of the dead lived, their rank amongst the dead being determined by how many sons they had, with the man with seven sons sitting amongst the demi-gods.
The souls only ate clay and dust, and always thirsted for water, but their is only one well in the centre of the underworld, and they could only ever get small amounts. The ruler of the underworld was the goddess Erishkigal, or something similar, who was constantly mourning the loss of her son, pulling out her hair, tearing her clothes, and raking her flesh with her nails. As she did this, her scribe (whose name escapes me at the moment) was reading out the name of every mortal, where and when they would be born, and how and when they would die.
That is what I call a very thematic underworld (from a game point of view. If that's the afterlife you believed in, I think you would get very depressed). Try to use these to spice up a game a bit more, as it just makes it a whole lot more interesting!