Annwn, or Annuvin in the Chronicles of Prydein by Lloyd Alexander, is an ‘other’ world, from the one that mortals live in. It is the realm of the gods, or of the dead, depending upon the source.
This site states: “The Welsh word annwn, annwfyn is traditionally translated “otherworld,” and is akin to some of the Irish worlds of the gods (Tír na mBéo, “Land of the Living,” etc.) One will recall that in the First Branch of The Mabinogi, Pwyll exchanges place and shape with Arawn, king of Annwn, whose realm is there depicted as co-existent with Pwyll’s Dyfed. In another poem from The Book of Taliesin ( Angar Kyfyndawt, 18.26-23.8) the speaker declares annwfyn to be underground:
yn annwfyn ydiwyth, in Annwfyn the peacefulness,
yn annwfyn ygorwyth in Annwfyn the wrath,
yn annwfyn is eluyd in Annwfyn below the earth…
It can be subaqueous, as it seems to be here in this poem. Annwn is popularly associated with the land of the old gods who can bestow gifts, including the gift of poetry (awen): awen aganaf / odwfyn ys dygaf, “It is Awen I sing, / from the deep I bring it”; AK). Semantically and conceptually the term is ambiguous. The MW prefix an- can negate as well as intensify (as in Latin in-) so that the word yields either or both an + dwfyn, “un-world,” “very-deep,” possibly “extreme world.” It is not a Celtic “underworld,” per se, although mention of “hell,” (vffern, suggests that associations between Annwn (“very deep”?) and the land of the dead were vivid to whoever committed this text to writing.”
As Wales became more Christian, ‘Annwn’ became associated with the Christian ‘hell’, but it appears to be more akin to the Greek sense of the ‘Underworld’–yes, it is a place of the dead, but it is for all people, not just bad ones and it is possible to move back and forth from our world to Annwn under the right circumstances, such as Arthur does in the Spoils of Annwn.
Both Arawn at times, and Gwyn ap Nudd at others, rule Annwn. Arawn fought in the Battle of the Trees (Cad Goddeu) with Bran against Amathaon and Gwyddion. Arawn, like Gwyn ap Nudd, was a master hunter who rode a pale horse and rode with a pack of white hounds with red ears. The archetypal purpose of the hunt was to gather souls for the Otherworld if the quarry was not smart enough to evade the chase. Arawn possessed a black cauldron (perhaps also associated with Cerridwen), which Arthur tried to steal. http://www.joellessacredgrove.com/Celtic/deities.html
Gwyn ap Nudd appears to be a very similar deity, leading one to think it is a different, later, name for the same god/ruler. Like Arawn, he is the leader of the Wild Hunt and associated with Arthur, but didn’t seem to take his full shape until the late Middle Ages. http://www.answers.com/topic/gwyn-ap-nudd