Blue hell is the area found underneath the traversable land in all Grand Theft Auto games. You are not technicly supposed to enter Blue Hell, but are able to through glitches i the game where part of the land mass is not solid and can be walked straight through. When you enter into Blue Hell you will fall for a few seconds before respawning at the nearest "solid" mass above you. The fall will not hurt you.
Blue Hell is comprised of a bottomless pit ant there are several "entrences" (though they may vary from your game) acessing Blue Hell, though these entrances are most likely glitches in the game and not intended to be there.
For example, one way to enter Blue Hell in Grand Theft Auto: San Andreas is found in Esplanade North, San Fierro. There you will find several docks struting out into the San Fierro Sound and wearhouses situated on them. Next to one of these docks you will find a submarine called the U.S.S. Numnutz (you cannot crive the submarine, however) parked next to the dock. If swim directly down from the submarine to the bottom of the waterway next to the dock, you will notice this greyish color that dose not mach the color or texture of the surrounding rock. The greyish area is actually a hole you can swim through. Swim Through the hole and you will have successfully entered into Blue Hell.
Because it is most likely a glitch and not an intentional feature in the game, not all GTA San Andreas games may have it. It is also advised you use the Infinite Lung/Air Capacity cheat code.