I have just checked with the 1987 edition of The New York Public Library Writer’s Guide to Style and Usage — how authoritative is that?! Page 222:

The following terms are usually lowercased.
devil
heaven
hell
holy water
shofar
sanctuary
karma
nirvana

I must say, they make a heck of a meal of the capitalization, or not, of place names. Did you know that it’s “The Hague,” but “the Netherlands”? This is the kind of thing that gives a person writer’s block.

Off on a tangent: Some readers took my subject line too literally, and have e-mailed in to offer candidates for the capital of hell. “Somewhere in New Jersey, for sure,” says one reader.