Summer Knight has the first in depth look at the lands of Fairie.
Proven Guilty has a wonderful scene in the Winter Court.
Short Answer: NeverNever is whatever you want it to be.
Slightly Longish Answer: NeverNever is the sum total of everything ever imagined or thought of.
Everything.
The Fairie lands are closest to "our" world, and thus the first place you end up in when you cross over. The Summer and Winter Courts Lands and the FaeWild are the most accessable. After that is the mythic lands of legends, like Avalon (from Arthur and Camalot) and presumably the Old Gods realms (like the Greek and Norse mythos).
It's been speculated that both Heaven and Hell are somewhere in the depths of NeverNever. But if anyone has made it there and back, we haven't heard about it.