I don't recall any implied afterlife in Elder Scrolls, aside from earthbound ghosts. Curious, that is. That there would be so many religions in Tamriel and not one concept of a separate spirit realm. Are all the religions just mechanisms to get earthly favors?
Huh? What you been reading? The Yokudans have the Far Shores and the Nords have Sovngarde and the Loveletter states that the spirits go "towards its aligned AE, either to the god-planet Aedra or the Principalities of Oblivion" prior to being recycled. I'm also certain that the Cyrodiils believe Aetherius to be their ultimate destination, but a cursory look reveals nothing.
The Aetherius and Oblivion Heaven and Hell anologies are kind of heavy in some places, the terms being interchangeable sometimes. E.g. Lament for Pelinal's reference to "
the insane else of heaven" almost certainly refers to Aetherius, as does Mor speaking in the Aldudaggas to Dagon: "
Heaven is not happy of it." Add to that Dagon's own utterance "Oh by the sixteen hells", a clear reference to Oblivion, as well as Battlespire's "Demon Principalities" to describe the Daedric realms.
Edit: I believe the consensus is that being in the dreamsleeve results in a dream of what people expect, as suggested by Sovngarde (meaning Sleepguard), before being recycled.