This follows on from the previous post. If the underworld into which your players venture is actually Hell, there are some interesting implications. Humanoid monsters become minor devils - which is often what goblins are in folklore - and encounters with the animate dead require no explanation - because the Underworld is where you go when you die.
I want to expand on that last point. It provides an excellent rationale for encounters with old friends - and old foes too. Think of Odysseus meeting the shade of Agamemnon - or fearing to encounter the head of Medusa. Or think of Dante's encounters with Minos, Cain and the Minotaur, among many others.
That sort of thing is great in a campaign, because recurring elements are really all that makes a campaign better than one-off scenarios. And the return of a long-dead enemy is always going to add spice. That's especially true if the villainous NPC is now a demon rather than merely a shade.
There's a good example somewhere in Michael Moorcock's multiverse books. Yyrkoon, Elric's treacherous cousin, reappears in the Corum saga as a demon (I think his name is spelt Yrkoon this time, but it seemed clear to me when I read it that he was the same entity).
For the GM, this offers up interesting possibilities. It gives you a supernatural means of achieving an arch-foe's return. And, as demonhood is probably not exactly fun, it gives that arch-foe extra motivation to conspire against the PCs. But it also allows the PCs to see that arch-foe consigned to some (literally) hellish task in the underworld. Perhaps the leader of the local usurper's armies is now reduced to marshalling goblins in the upper levels of the underworld. Or maybe that evil sorcerer is now pursuing his goblin-human hybridisation project with a much bigger budget. Or perhaps he's the person that the PCs have to negotiate with to achieve passage to a certain section of the underworld. If they're responsible for consigning him to the netherworld in the first place, that could be especially awkward ...
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