You learn a ton about Lilith's realm in the Random House excerpt, but here in the Scribd excerpt War goes into detail about how Heaven looks and how the Angels live their lives by something called a Codex Bellum. They have a caste system that's very rigid, though not every angel agrees with it (Azrael certainly doesn't). You also see Azrael and Death have conversations (Azrael is immune to Death's jabs and insults xD)
http://www.scribd.com/doc/94013582/Darksiders-The-Abomination-Vault
[spoilers----------
The Nephilim were also a group of very, very depraved people that loved to destroy other worlds. Hell clashed with them in a huge battle that was second in losses to the complete annihilaiton of them at Eden, which the Nephilim bones are located at now.