The cockroaches are in Hell.Think about it. As shown in the opening, they got squashed by the falling brick. Throughout the series, they managed to come back to the life of the living to make Oggy's life a living hell. In some cartoons, Oggy manages to use the punishment against them. Therefore, the cockroaches' hell throughout the series is ironic.
The cockroaches are Ed, Edd, and Eddy who somehow got turned into cockroaches.