There is a spirit realm and ethereal realm. Ethereal to me simply means one step above the physical, but below spirit realm. It is just like real world, but you experience it like a spirit would. Some spirits are stuck in this realm for one or other reason and they do not go or tend not to stay long in a spirit realm. My father is one such spirit which comes to haunt our house from time to time, especially if he receives an emotional response (like crying near his grave).
Other people were proven to reincarnate. This is usually due to traumatic experiences like dying in the war. Violent, sudden deaths like these tend to drag spirit straight from former self into a newborn. Due to its quick transition, such person has a lot of memories of his former life.
As for me personally, I believe a God had already offered me a place in an afterlife at his side. Well, I believe it was a God and experience of it was very powerful. These visions lasted for two days concurrently. I also had experienced via dreams what it feels like to die. How soul transitions from a body to an ethereal realm. How soul travels through spirit realm and how violently it can fall back to physical one. I also had some fights with spirits or demons in ethereal realm. Hmm, it was more like me being pestered by them and just deciding not to pay a demon any mind and I just returned my soul to my body. These are my own experiences in this.
Spirit or soul is merely a degree of consciousness or ability to feel and to comprehend. Even animals are capable of haunting the place of their death. However, as they are inherently far less, they leave far smaller souls which seem to usually disintegrate with death.
Overall, I'm afraid just of one thing. To wither away in my death, to become less in essence, memories and capabilities rather than more. To be stuck like other humans I see in this realm, wandering the Earth, contacting their next of kin via dreams, asking this or that, being stuck in what were their deepest desires before their death. If not that, then being unable to just move on from their homes, from their former lives. THAT is hell. To be just a shell of yourself, slowly withering away into nothing with time or with memories of a living.
Btw: To me when someone says "no" it merely means that I'm not trying hard enough to get what I want. To me, real issue is in getting that inner fire burning, in desiring something. To want, to lust, to desire something truly is that moves mountains for me.