While I realize that the planes have a long tradition in both fantasy and D&D, I don't particularly like them. The idea of going to another world is interesting and all, but why bother setting all that interesting stuff somewhere else? Why not just cram it all into the world?
For instance, the Abyss is a scary place. It's filled with demons and extends far below the normal planar realms to who knows where. The thing is, though, by placing it into this planar structure you rob it of some of its value. Clear out part of your setting, punch a huge hole in your world, and voila, there's the Abyss.
That may seem like a bad idea. After all, what stops the demons from overrunning the world? When you think about it, though, you face all the same questions if you anchor the Abyss in the planes. The frame of reference shifts, sure, but the basic concept is the same.
Instead, the Abyss is a yawning pit one hundred miles wide. It drops deep into the earth, far deeper than anyone has delved. It cuts into the Underdark, and demons emerge both there and at the surface to kill and maraud. A number of ancient fortresses watch over it, but few of those are still manned by the orders of paladins that built them. Today, many are now occupied by renegade wizards, necromancers, and demonologists.
As one travels down the narrow ledges that circle the Abyss's outer rim, one can see great spires of black rock that rise through the Abyss's central void. Here, demon lords battle for territory along narrow, stone bridges and within the chambers and caverns that honeycomb the spires. Here and there, gates along the Abyss's wall lead to massive caverns warped and changed by the Abyss's influence. These layers are shaped by the demon lords that claim them and range from howling, frozen wastes to verdant jungles. Miniature suns hang in their skies, creating proto-worlds within the stone of the earth.
Luckily, the mightiest demons need the aid of mortal spellcasters to leave the Abyss for any period of time. It is a place infused with great magic, and without it they would die like a fish removed from the water. Still, legends tell of a time when a great, red comet will split the sky and herald the rise of demonkind. According to the legends, this comet is the Queen of Chaos, the mother of all demons banished in eons past by the gods to the outer realms of the sky. When she returns, she will lead her children on an endless war of conquest across the world.
The lands near the Abyss's rim are demon-haunted and mostly abandoned. Cultists, wanderers, and madmen make their homes there, as do many gnoll packs that can reach the size of armies. The gnolls will forever remain a thorn in the side of the realm, as even the most ardent paladin would think twice before leading an army into the Abyssal lands to slay them.
The Underdark is so dangerous because, by whatever strange laws govern the Abyss's power, the mightiest demons can enter it through the Abyss's lowest precincts. This makes travel there perilous at best, and it also provides the drow with easy access to demonic aid.
Placing the Abyss in the world opens up a lot of potential for adventure. What if the Abyss's influence starts to grow? What secrets are in the fortresses that once watched over it? Low level characters can venture into the twisted lands around it and maybe even its uppermost layers, while a journey into the Underdark can turn into an excursion to the Abyss with one wrong turn.