The only story/ story arc was the DC comics Invasion Story arc. For about a year after the end of it, the heroes were randomly encountering alien related supernatural events. Swamp Thing addressed this in an issue (sorry can't find the number).
The big thing is that the afterlife or spiritual world is defined by the beliefs of those who go there. So each species has its own piece of spiritual real estate. That "real estate" would be divided up to heavens/ hells/ or appropriate ellysium fields. If you believed in "your worlds" religion, your view of the afterlife would match your religion's mythology. If you are the only dead alien of your type, you are actually in control of your "heaven/ hell". If there are many of you, the world is a composite of everyone's belief.
The various gods, they can only function in their people's spiritual realms. Outside of those realms, they have little to no power.
Of course there is the Torg view of this. If enough of your people are in a place, defining the reality there, then your god has power there.