Orthodox Judaism believes in Heaven (Gan Eden or Olam HaBa) and Purgatory (Gehenna or Gehinom). Hell isn't the right word, because Gehenna (Purgatory) isn't permanent. Kaddish is only said for less than a year for the dead because we presume they won't be in gehenna that long. However, according to some views there are a few extremely evil individuals whose souls are extinguished with death, or who experience eternal punishment.
After the Resurrection of the Dead, souls will again live in bodies (either for a long time or permanently -- there are different views). This is what is often referred to as Olam HaBa. Before that occurs, however, the souls will be in "Heaven," often called Gan Eden (the Garden of Eden).
In any case, Heaven or Purgatory are not physical places. The Resurrection, however, will occur in a physical place.
Kabbalistic Judaism also believes in reincarnation. Although belief in reincarnation did not become widespread until after the popularization of the Zohar, it is widely accepted by many Jews. It is difficult to find a widely-respected Orthodox rabbi in the last few hundred years who questions or opposes this belief. However, it is not technically required to believe in it (because Kabbalah is not considered a binding source of belief by all Orthodox Jews), and most Jews rarely discuss it.
The Talmud states that all nations (that is, all non-Jews) have a share in the World to Come (Olam HaBa). Some sources say that non-Jews will go to Heaven as long as they observe the Seven Noahide Laws (basic rules of morality that apply to all people).
Many books and articles are available on this topic. The only one I can think of that I have read and recommend is Soul searching: Seeking scientific ground for the Jewish tradition of an afterlife by Rabbi Yaakov Astor.