It is featured in "Lia" when Mitchell goes through someone else's door with them into purgatory to save Annie who is imprisoned there due to the fact that she took Kemp through the door. On his way he met Lia who opened various doors showing Mitchell parts of his past.
If you go through a door wrongly or are forced through it, the light will not appear and purgatory will have an eerie red glow as seen when Kemp forces Annie into purgatory in "All God's Children" or when Saul tried to drag her through to purgatory as seen in "Serve God, Love Me and Mend". Also in this episode we find out that if you turn down your door, the higher-ups in purgatory will try very hard to get you through one.
Purgatory is also seen in "The War Child" after Annie blows up The Old Ones, she goes through a door and she is greeted by Eve, from purgatory, she goes through another door that leads to Mitchell, George and Nina.
The scenes in purgatory were filmed in Penarth.
In the US series Limbo is a place where ghost that are shredded go.