Mephisto is the ruler of hell, but it's not the hell you learned about the in bible. I guess that's a whole different place (?). I don't think Marvel has made any grand gestures towards acknowledging any one religion, so who knows. There could be twenty hells in their universe. We know there is at least one, and that's Mephisto's realm. If you think he looks like the Devil, you're right. He's obsessed with looking like the Devil, and even gets pleasure from it.
He has two kids who you may be familiar with: Blackheart and Mephista. Mephista's job was to destroy Doctor Strange, while Blackheart was to be Mephisto's heir. Crap, all my dad wanted from me is for me to work two days a week in the hardware store. I got off easy compared to these kids.