The Underworld is a place in myths and legends of many different cultures where the souls of the dead go and the gods reside. The underworld obviously plays an extremely important role in Tomb Raider Underworld.
In Mayan culture this place is called Xibalba, whilst in Norse mythology its names are Helheim and Niflheim. Also, one version of the Hindu underworld, Bhogavati, is used in Tomb Raider: Underworld. Jacqueline Natla tells Lara that Avalon and Helheim are the same place.
There are quite some hints present wich assume that all the underworlds were once parts of Atlantis. In Tomb Raider: Anniversary, Jacueline Natla says that the Great Pyramid is just one part off Atlantis, and she will find other parts to help her reach the Seventh Age. Another suggestion is that Natla knows the ritual that opens the gates to Helheim and she knows exactly what's inside.