Sheol (pronounced “Sheh-ol”), in Hebrew שְׁאוֹל (She’ol), is the “grave”, or “pit” or “abyss”.
In Judaism She'ol is the earliest conception of the afterlife in the Jewish scriptures: a place of darkness to which all dead go, regardless of the moral choices made in life, and where they are "removed from the light of God" (the Book of Job). She'ol is a concept that predates the Christian and Muslim ideas of judgement after death and also predates, and is different from, Heaven and Hell.
Hades (Άδης or Ἀΐδας; from Greek ᾍδης, Hadēs, originally Ἅιδης, Haidēs or Άΐδης, Aidēs, meaning “the unseen”) refers both to the ancient Greek underworld, the abode of Hades, and to the god of the underworld. Hades in Homer referred just to the god; the genitive ᾍδου, Haidou, was an elision to denote locality: “[the house/dominion] of Hades”. Eventually, the nominative, too, came to designate the abode of the dead.
In Greek mythology, Hades is the oldest male child of Cronus and Rhea.
The Hebrew Bible (also Hebrew Scriptures, Latin Biblia Hebraica) is a term used by biblical scholars to refer to the Jewish Bible (Hebrew: תנ”ך Tanakh). It takes its name from the fact that the Jewish Bible is composed mostly in Biblical Hebrew, with a few passages in Biblical Aramaic (about half of the Book of Daniel, some parts of the Book of Ezra and a few other passages).
“The Devil” is an evil figure in the Abrahamic religions/mythos, defiant of the will of God and eternal opposer. The devil has many different names, and has a role in many of the Abrahamic holy books:
Satan, (or Shaitan, “the deceiver” in Jewish) Lucifer “the light bringer” (doesn’t sound so bad!) Bealzubub, possibly a grammatic joke: changing “Baal Bezuz” (Lord of the Valley) to “Baal Zebub” (Lord of the flies).
In religion, a powerful, immortal entity that may exist outside of space-time (but still have an effect on “reality”). Different religions may have one or many gods and goddesses: in a monotheistic religion (like Judaism, Christianity to a degree and Islam) they will not acknowledge foreign gods as “real”, and are likely to instead associate them with the devil.
In Abrahamic religions there are many names for god, including those below; generally god is named using platitudes (“most high”, “lord above all”, et cetera):
A class of religion(s), including (in order of age) Judaism, Christianity and Islam, share a common ancestor in the story of Abraham. These religions are similar in that they hypothesise an all-powerful god (in heaven) and an antagonistic devil (in hell). They also speak of heaven, a place of eternal bliss, where the souls of the chosen or believers will live on after death; the opposite to heaven is hell, a place of eternal suffering.