Gre'thor is the name of the underworld, or Hell, in Klingon society. It is the location where the dishonored and the damned would journey to, once they died.
Once the dishonored died, the Klingon would first board the Barge of the Dead which was commanded by Kortar, the first Klingon who was banished to this realm for his act of destroying the Klingon gods. The Barge would then set sail on the blood red river for Gre'thor itself but this would not be a peaceful journey as dangers, such as the serpentine Kos'karii would attempt to lure the warrior into the water with their siren-like voices in order to get them lost for eternity. (VOY episode: "Barge of the Dead")
While the dishonored are usually trapped in Gre'thor for all of time, it is possible to redeem them and send them to Sto-Vo-Kor which can only be done by the actions of someone in the world of the living. This was the case twice; the first by Kahless the Unforgettable when he journeyed to the underworld to redeem his brother, Morath for his crimes. The second time was done by B'Elanna Torres who regained her mother's honor and sent her to Sto-Vo-Kor. (VOY episode: "Barge of the Dead")