Jewish concepts of heaven (thing)

Avraham's thoughts on Hell
The Midrash(I believe) says that Avraham was offered the choice between his children spending four hundred years of slavery in Egypt or his children spending time in Geyhinom. Avraham chose the slavery in Egypt because no matter how bad things get here in this world, they are a lot worse in Hell. Like getting dental work done without anesthetic, it's only going to take a little while, but you'd still do almost anything to avoid the dental work.

A little bit about the World to Come As explained by the Baal HaTanya.
There are two levels of Gan Eden, the garden of Eden, the upper and the lower. In the lower Gan Eden people's souls are nourished by smells, instead of by eating. Smelling the fruits and the plants and flowers replenishes one's neshama. In the upper Gan Eden, souls are nourished simply by seeing. The divine light of the Shekhinah shines and nourishes all the souls in the upper garden.

The Baal HaTanya also goes on to explain, quoting the Arizal, that mitzwoth performed in this world are the clothing of souls in Gan Eden. Torah, he explains, is the food of the soul in Gan Eden. He continues: The reason why the Rabbis say that learning Torah is comparable to performing all the mitzwoth in this world is because the Torah is also clothing for our soul in this world. So the Torah, in this world, is clothing, and, in the world to come, is also the sustenance of the soul. Whereas the mitzwoth are only clothes.

There's a whole different, deeper level. We wouldn't want you to think that the mitzwoth aren't important. In fact, the Tanya says just the opposite:
This world is actually a greater gift than the world to come, because in the world to come, as in all the upper realms, God is ultimately incomprehensible, unattainable, inaccessible. Down here in this world, we can unite ourselves with God so completely we are actually embracing Him. The mitzwoth are not only our clothes, but they are the clothes of God Himself. One of the points mentioned in the Tanya is that the six hundred and thirteen mitzwoth are the limbs and sinews of the King. It is something beyond our comprehension and yet paradoxically at the same time it is something we can grasp on to. By learning the depths of the mitzwoth and by embracing them in Thought, Speech, and Action, we can unify ourselves with God in a closeness not even attainable in heaven. True, he says, there are many many layers of clothing between our divine soul and God, but hugging a King is still hugging a King regardless of how many layers he's wearing, he's still in the clothes.