It's not really clear if it's purgatory and whether they're going to heaven. The place is described as a place outside of time they all created in their minds so they can be together until they accept they've died (this place is what they all see as they die. This is why they smile. Julia goes in and out, when she says "It worked", she is referring to the vending machine in the sideworld, but also the bomb, in the real world, as she is in both places at the same time at that moment, and thinks the sideworld is the result of the bomb going off).

What happens after is also not labeled as heaven. As Jack's dad says, he simply has to accept he is dead and find out what comes next. The light at the end ("heaven") is also a parallel to the light from the fountain. Could be heaven, could be reincarnation (the light)... could be something else.

If you look up what the writings on the stone plug at the bottom of the light fountain say, it will shed some very interesting light as to who Jacob and his brother really are, and what the island / show was all about.

I gotta wake up in 5 1/2 hours so I won't give my interpretation (and mine would be as good as anyone's).

And this is what I love about the show!

Lots of people toss the finale as a poorly thought out "let's end this thing" sort of situation, when the more you dig, the more you realize it was anything but.

They just didn't spell out all the answers, which is what most people wanted, and left a LOT for the viewers to piece together. Some very hidden, such as the writings on the stone plug, which are actually pretty important in understanding the roles of Jacob, the MIB, and their mother.

Hint: their story arch parallels a chapter of Egyptian mythology almost to a tee — in fact, many characters parallel mythological characters from various religions, old and new (the most obvious being CHRISTIAN and jack SHEPHERD — probably the better known of all the myths / religions they allude to, which is why most cling to the Christian purgatory-heaven interpretation; which is not necessarily wrong, it's just that that question is left open.