Purgatory

Purgatory was specifically created by God to restrain and hold the Leviathans, however, it's also a realm where the souls of monsters go after they die. Here, the monster souls are fated to hunt and prey upon each other for eternity. Since then, it has become home to various other supernatural creatures.

Where Purgatory's located is largely unknown, however Crowley claims that it is adjacent to Hell. Crowley estimates there are 30-40 million souls there. Crowley makes a deal with Castiel that they will locate Purgatory to use the power of the souls housed there. They start a plan where they use Samuel Campbell, getting his agreement with a promise to resurrect Mary Winchester, to capture the Alpha monsters who they are convinced know Purgatory's location.

Family Matters
The Alpha Vampire reveals to Sam and Dean that when monsters die, they don't go to Heaven or Hell. They go to Purgatory instead. The mystery that Samuel (under Crowley's demands) tries to torture him into solving is the location of it. The Alpha seems to hint that he knows, but doesn't clarify if he does. Crowley later appears and admits that Purgatory is "vast, unutilized, and Hell adjacent," and that he wants to develop it.

Caged Heat
Crowley tortures the Alpha Shapeshifter into revealing the location, even going as far as threatening other shapeshifters' lives. The Alpha resists, and Crowley decapitates it.

Appointment In Samarra
Before Death leaves to retrieve Sam's soul from Lucifer's Cage, he tells Dean that despite how the brothers "cause disruption on a global scale", they are digging into something regarding souls. He encourages Dean to keep digging. He is most likely alluding to Purgatory. In "Like A Virgin", Bobby translates some details of an ancient manuscript that Sam and Dean salvaged from the dragon's sewers, and makes out only a few details based on them. According to Bobby, the dragons are reading an instruction manual to open a door to Purgatory, to let something in (bring something on Earth).



Like A Virgin
The dragons then perform a ritual that opens the door to Purgatory to bring Eve to Earth. The Latin incantation: "Ego coniuro vos / Insolubiliter ad mei potenciam alligati / Ad me prestolacion venire / Deberiatis aperiat / Hunc sine mora debeas mater". Eve rises from the pit, possessing the young virgin sacrificed as a vessel.

The Man Who Would Be King
Both Castiel and Crowley are searching for Purgatory. The reason is for the souls. Castiel needs the souls' power for his war againist Raphael. Without the souls, Castiel does not have a chance of defeating the archangel. They find a way to open it from Dr. Visyak, a creature who is from Purgatory. When Crowley allies with Raphael, Cas gives them a fake jar of blood and performs the ceremony by himself. Castiel, like Lovecraft, has successfully opened Purgatory, and absorbed all souls inside. With this new power, Castiel proclaims himself the new God.

Meet The New Boss
Death reveals the true purpose of Purgatory as the prison for God's earliest creations the Leviathans; monstrosities of unimaginable power and hunger. Realizing the danger they posed to rest of creation, God created Purgatory as their prison and sealed them inside so they could not "chomp the entire petri dish". When Castiel absorbed the Purgatory souls he also absorbed the Leviathans which had begun to eat their way out of Castiel by rotting his vessel. Castiel later released all the souls back into Purgatory, but the Leviathans held on and took over his vessel, enabling them to run rampant across the Earth.

Survival of the Fittest
Dean uses the Bone of the Righteous Mortal Washed in the Blood of Three Fallen to destroy Dick Roman, the leader of the Leviathans. As a result, he and Castiel are transported to Purgatory along with Dick's essence. Dean and Castiel find themselves trapped in a dark, forest-like world surrounded by shadowy red eyed creatures - presumably the souls of dead monsters, later revealed to be the true form of Leviathan.

We Need To Talk About Kevin
Dean, with the help of Benny escapes Purgatory through a portal only humans can use. According to Benny, the portal was created by God in case humans got trapped in Purgatory. Having made a deal with Benny after meeting him while looking for the missing Castiel, Dean carries his soul out of Purgatory in his arm and later resurrects Benny. However, according to Dean, Castiel didn't survive Purgatory and died.

Mythology
Purgatory is the condition or process of purification or temporary punishment in which, it is believed, the souls of those who die in a state of grace are made ready for Heaven. This is a theological idea that has ancient roots and is well-attested in early Christian literature, while the poetic conception of purgatory as a geographically situated place is largely the creation of medieval Christian piety and imagination.

Trivia

 * Edgar claims that Purgatory (his neighborhood) is worse than Hell.
 * Among the numerous supernatural creatures and species, there are several that aren't linked to Purgatory when they die. The confirmed beings that don't go to Purgatory when they die are the following:
 * Angels. While they lack a soul, like the Leviathans, they don't go to any known location in death—they simply no longer exist once killed.
 * Deities. Where they go in death is not known; however, it's possible that, like angels, they simply stop existing because they aren't creations of Eve.
 * Demons. Like Ghosts and Vengeful Spirits, demons are just corrupted human souls, and it's not certain where they go in death.
 * Creatures directly linked to Hell, such as Hellhounds and Daevas don't go to Purgatory because they bound to Hell.
 * Fairies. They have their own realm and therefore do not go to Purgatory.
 * Interestingly, it appears only Leviathans and the creations of Eve are immediately linked to Purgatory as an afterlife if they die or are killed. Also, it appears that other beings can be brought there under certain conditions. Example: Dick Roman brought Dean, as well as Castiel and his vessel, to Purgatory upon his death and return to Purgatory.
 * Even though every soul in Purgatory is deceased, they can still be "killed" as seen when Dean and Benny behead two vampires. However, this is disputed as it has been mentioned before that nothing in creation can destroy Souls, only damage them.
 * It is possible that an Alpha could bring someone out of purgatory.