The secret of the nominally Christian Hell imagined by Neil Gaiman in Sandman and expanded upon herein by Mike Carey is that it isn't really Hell as we normally understand it: damned souls can leave at any time if they can stop believing themselves to be damned. But that rarely happens.
The three major arcs of this volume follow Lucifer, a magical little girl and the denizens of one of Hell's provinces as various plans and counterplans proceed apace. Very bad things happen. A human released from torment manages to outwit his tormenters. Lucifer continues to be his grumpy, sardonic self. And his companion Mazikeen, bizarrely maimed in a successful attempt to save its life, begins to rise up the ranks of the Lilim, those demonic beings born of the union of Adam's mostly forgotten wife Lilith and the demons of Hell.
As always, there's a nice mix of zany but 'real' mythological material and Carey's occasionally post-modern musings on gods, angels, redemption, and damnation. The demons and devils are loathsome, but so too are some of the angels opposing Lucifer. Strange, heady stuff.