"Purgatory? I've thought of it, but I don't know where it is. Chronos said I could ride my horse there, but somehow -"
She pointed. "Right there."
Zane looked. There, across the field, was a modern building complex, somewhat like a university. "That's Purgatory?"
"What did you expect - a medieval dungeon guarded by a dragon?"
"Well - yes. I mean, the concept of Purgatory -"
"This is the twentieth century, the golden age of magic and science. Purgatory moves with the times, as do Heaven and Hell."
(from On A Pale Horse, by Piers Anthony)
The full review is here.