War travels between dimensions when using the Serpent Holes

Serpent Holes... Ancient paths that worm their way beneath the husk of this dead world... and beyond. I use them to get about, and for a price... so can you.
Vulgrim, speaking of and offering the Serpent Holes

Serpent Holes are a method of transportation in Darksiders that War can use to get from one place to another. He can only move between the areas that have Vulgrim's shops, so he is unable to teleport to The Hollows or Eden, as examples. When War chooses to use a Serpent Hole, he is teleported to a floating pathway in what appears to be a different dimension, which he must traverse to reach the portal at the opposite end. Nevertheless, the Serpent Holes are a much quicker way of traveling between locations. There are also some chests available inside Serpent Holes, see the pages on Lifestone and Wrath shards for more information.

The Serpent Holes are only accessible after defeating Tiamat. As there is no other way to leave the Twilight Cathedral, following the death of the angelic beast, Vulgrim allows War use of the Serpent Holes, in exchange for a glimpse of Tiamat's heart.

It is worth noting that the specific Serpent Hole you must traverse is determined by the destination selected, so there are ten distinct Serpent Hole layouts in total, one for each Vulgrim location on the map.

Serpent Holes are a quick way to travel long distances. They are formed by a series of connected platforms, and as you move through them pieces of puzzle-piece-shaped rocks float up and form bridges. Some Holes are more difficult to traverse, with gaps and tricky jumps.

The Serpent Holes are not Vulgrim's exclusive trick, as the Archangel of Death, Azrael and the Blood Prince, Samael had their own versions of Serpent Holes available to aid War. They seem to reflect the owner in color and detail, as Vulgrim's have his candles dangling around and Samael's have a red light and torches.

In truth the Serpent Holes that Vulgrim uses are infact portions of the Void that serve as the home of the Keepers of the Void which eventually decide to banish him from the Void only for Vulgrim to trick Fury into committing genocide on them in the assumed belief that she was expelling intruders. The realms that serve as Azrael and Samael's Serpent Holes are at the moment unknown.

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