I got one for you;
Heaven.
After all, dwarves are creatures of the earth, it would make sense that any afterlife they believe in (unless they worship the god of the sky I suppose) would be deep underground. This would also explain in part why the demons were chained beneath the earth; as the saying goes, keep your friends close, your tentacle demons closer.
In game, this would basically result in another form of the glowing pits, but rather than being surrounded by adamantium, the interior would be filled with some sort of wondorous (read expensive) material.
Opening the pearly gates would have no negative effect initially, but if you decided to grab the treasure, all hell (in a manner of speaking) would break loose. Leaving the pits open and unpillaged (or maybe, removing the guardians) however, would allow the dwarves to interact with their deceased. E.g. those that lost their loved ones would get happy thoughts, something like "Urist has been comforted by his mother's spirit lately", whereas deceased grudges would yield "Urist was haunted by his old foe recently".
If you really want to go into detail, make the heaven resemble the spheres of the local gods, so a god of smithies would have lots of smelters, forges, and adamantium anvils laying around, all the while overseen by an avatar wielding an enormous blessed hammer. Conversely, the god of wealth and jewels has a huge pile of coins and gems, guarded by a horde of Gold and Platinum Men.
On a related note (which I am pretty sure this has been suggested already, but meh), what's locked under the mountains (good or evil) should influence the surroundings. So a demon pit would, at year 0, be in a savage mountain range. However, as time progresses, the mountain range would get progessively worse, becoming a terrifying hellhole by the time worldgen ends.