Everlasting Party

The Everlasting Party is the goblin afterlife. Dead goblins are buried with their most valuable and favored possessions, along with gifts bequeathed by other goblins, so that they can enjoy them in the afterlife. After the gifting ends, the funeral attendees dance on top of the coffin to usher the deceased on to the Everlasting Party.

Speculation
It's unclear if the Everlasting Party is a genuine afterlife (i.e. an existing realm of the Shadowlands) or if it's merely a goblin belief. Even if it does exist, it's evidently not where all goblins go after death since goblins can also be seen among the Aspiring Souls in Bastion, and one goblin soul named "Bubbins" was sent to Revendreth.