How does it work ?
What exactly Innistrad's ghosts and "Blsssed Sleep" are ?
Theros has Underworld, yes, but what about other planes ?
I started an ethical discussion here, and a large point of it was that Phyrexians grant immortality, but that's not an impotant thing, if life of each 'mortal' continues after death.

The Blessed Sleep is basically the state of being truly dead and at rest as opposed to being a zombie or geist. More comprehensive info about geists and the afterlife on Innistrad can be found in the Planeswalker's Guide: http://magic.wizards.com/en/articles/ar ... 2011-10-19

While I'm at it, here's the PG to Theros with info about the Underworld, demons, the Returned (Noston) and eidolons: http://magic.wizards.com/en/articles/ar ... 2013-09-04

Brady once said that every plane has its own afterlife. Ravnica has Agyrem, and dead people on Kamigawa probably go to the kakuriyo, the realm of the kami, though I think that hasn't really been outright stated so far. We know the zubera are mortals that have been sucked into the spirit realm, but I don't know if that refers to dead or living people. It's also possible for great and important people on Kamigawa to become kami after death, pretty much as it is in actual Shinto beliefs. Mirrodin had a weird reincarnation cycle going on when Memnarch's soultraps were still intact, but that's gone now.

I think you're misremembering that slightly.
The question was really in regards to if all Afterlives were the same place in Dominia, not if each plane had its own afterlife. Some do, obviously, but some are probably just oblivion after you die.

Well, yes, I phrased that kinda poorly. I think what he actually said was that it differs from plane to plane, so most planes might not actually have a clearly defined 'afterlife'. Which is good, because what happens or doesn't happen after death isn't something I need explored in fiction. The only constant we always have in Magic is the existence of the soul, but we don't really know what it's good for or what happens to it when you die on most planes. I like to think that whatever 'happens' after death in real life (probably nothing, but it's not like living people will ever know for sure) is the default case throughout the multiverse and all those things like ghosts, spirit realms and underworlds are just safety nets in which the soul is caught instead of being dead-dead in the usual sense. Maybe the Underworld of Theros only came to be because people believed in it.

For the sake of storytelling, it's either oblivion or hanging around like ghosts unless there's a defined Underworld.

That said, Fiora appears to have a ghostly realm if Kaya's story is of any indication

Fiora's spirit thing seems more like the standard fantasy undead situation. There actual after life is still more or less ambiguous

As previously mentioned, most planes have their own unique afterlives