"Purgatory is where the imaginary orgies of martyrdom take place, souls purged step by step of their sins through suffering and penance, or--if they are not steadfast enough and fail these trials--they are sent to eternal damnation. Purgatory is an experience of the utmost limits, as purifying as numbers that are the gateway either to order or chaos. A highly dramatic place located between Earth, heaven, and hell, it is the most important and controversial locality in the Catholic faith." Siegfried Zielinski, Deep Time of the Media.
As a Protestant, I don't really have a dog in the Purgatory fight. But I do find the concept interesting. If nothing else, it lends authority--not that he'd accept it--to Protestant preacher John Donne's declaration "This life is but the highway," by which he meant that our real existence continues on after death. (The saying which was later echoed by Tom Cochrane, and put to much different meaning.)