I don’t think it’s anything we can truly comprehend. Where are they? Do they exist on a physical level, or only on a spiritual level? After all, it’s not your body that goes there, it’s your soul, which isn’t physical. However, there are places that mention a physical part to them (such as the Gemara which mentions the hole in the ground where a thread dipped in was singed and Korach’s children could be heard saying Moshe Emes v’Toraso emes).
I’ve heard various things about both places. Imagine the best things in this world. When something good happens, you get a great feeling. Everything seems right. Imagine that feeling multiplied a billion times, and lasting for your entire life. It still doesn’t come close to one second of Gan Eden.
Now imagine the worst things. Times when you feel bad, when things are going wrong. If it were multiplied a billion times for your entire life, it wouldn’t compare to one second in Gehenim.