Oh, there are so many:
On the Tolkein theme, see you Mordor and raise you Thangorodrim.
From Dante, there is of course Inferno (Hell) and Purgatory isn't all that nice either.
From a glorified fanfic (OA) the Queen of Pain's planet isn't exactly for tourists.
From SF, Giedi Prime is probably rather unpleasant.
And of course, there are lovely garden spots from Lovecraft such as R'lyeh and Mount Voormithadreth.