Overall, Steven and Dawei are correct. However, there are a few set phrases that use articles with these words.
A poetic synonym for "the sky" is "the heavens"
Ex: "Your eyes are more beautiful than all the stars in the heavens."
If we just saw something unbelievable, we might say "what the Hell?" This is a synonym for "What the fuck?" or WTF.
Ex: "What the Hell, John. I can't believe that you're two hours late for your own wedding."
If we mention *which* religion's hell or heaven we're talking about, we'll say "the".
Ex: "the Christian Hell"; "the Muslim Heaven"