The Other World is another name for the afterlife. The souls of the dead go here to be judged by King Yemma, who decides whether they will go to paradise or to HFIL (Hell), depending on their actions in life. He may also elect to send the souls of warriors to train under one of the Kais. The Other World is populated by ogres who administrate various areas, and is (apparently) ruled by the Grand Kai.
Most souls in the Other World appear as small wisps of smoke, but worthy or powerful beings may keep their bodies, only recognizable as dead by the halos suspended over their heads. No one can be destroyed again in the Other World, although they can be badly damaged for brief periods.