The Undead Purgatory is connected to Huntsman's Copse by a hanging bridge, and it appears to be a prison or torture chamber plagued with Skeletons and Necromancers.
Upon entering the Purgatory, you have to face the Executioner's Chariot. The Executioner has slain countless Undead, and continues to slay them again and again, eternally. Little does he know that it is not by his own will that he slays the Undead, but that of his horse. If you can defeat the Executioner, you will then be able to meet Titchy Gren, leader of the Brotherhood of Blood covenant.