Sheol is the Biblical underworld, and is similar in many ways to Hades in Greek mythology. The Israelites did have an idea of Heaven, but it was purely a divine domain—you know, where the angels hung out—and you couldn't go there in death.
Nope, everyone goes to Sheol, a grim underworld where God forgets about you and your voice is silenced. That means no praising God, either: "In Sheol, who can give you praise?" (6:5).
We never really get an idea of what exactly Sheol looks like, but we're pretty sure no one wants to be there. In modern Judaism, Sheol is less of a focus, but it is believed that the dead will rise from Sheol on the day the Messiah returns (source).
Looking for more Underworld nuggets? Check out Psalms 30:3, 49:14, and 141:7.