A Nice Place to Visit [spoilers]

First, a quick recap:
A crook (Rocky) is shot and finds himself in a place where he gets anything he wants and wins at every game of chance. He assumes this is heaven and that the man assisting him (Pip) is an angel. Eventually he becomes bored and says he doesn't belong in heaven--that he'd rather go to "the other place." Pip then informs him that this IS the other place.

So this episode is offering a view of one type of hell (although some posters at another site suggested that Rocky simply lacked imagination). The episode is telling us what heaven is NOT. However, it never tells us what heaven IS. Many people probably think of heaven as getting to do whatever you want. If this would eventually become boring, what would be better? The only answer I can think of is the idea that you could interact with people you had known on earth (which Rocky could not--presumably because they actually did go to heaven). Opinions?