That depends. To the Fugue Plane, first. There they await the arrival of someone that acts with the authority of one of the gods -- or powers -- of my universe and are then ushered to their final plane of existence in the realm of that power. But even that isn't always the case, for they can never reach the Fugue Plane, or they can be called back. They can be swayed by devils coming to find those they can turn into more of their kind.

It... is strange to think of there only being one destination for the deceased. Limiting, even.