In D&D: Dungeon Master's Guide, the Abyss is one of the Outer Planes. It "has a seemingly endless number of layers" and is associated with the chaotic evil alignment. However, that cosmology may not be canonical for Critical Role.
When Scanlan Shorthalt scried through his magical poo, his consciousness transcended the Material Plane, traveled across the Astral Sea, and arrived at his scrying destination on the Material Plane.
The Elemental Plane of Fire (and, presumably, the Elemental Planes of Air, Water, and Earth) intersects with the Material Plane. The druidic Ashari guard the portals at those connecting points.
The Ethereal Plane overlaps the Material Plane, but they're out of phase with each other.
The Far Realm is another dimension that connects to the Material Plane.
Clarota told Vox Machina that, should they try to enter through the rift to the Far Realm that they found while in the Underdark, their minds would break.