The Underworld

The Underworld was a world of terror, known these days as Hell. There were many evil spirits and creatures that dwell there, and many are seen in 'Merlin'

Creatures that dwell there
Many creaturs live there, here are some of them:

Fomorroh

Dorocha (possibly)

Questing Beast

There is a veil that separates this world from the Underworld, it is known as The Veil Between the Worlds.

A Servant of Two Masters
In the episode 'A Servant of Two Masters' Morgana enslaves Merlin's mind using a snake-like creature called the Fomorroh. She says the creature is from the Underworld.