Sam: How many are there -- how many other worlds or -- or universes or realities or whatever?
Chuck:I don't know. Kinda lost count. Most of them are boring. One's in reverse. In one, there's no yellow. One of them's just all squirrels.
– , 14.20 Moriah
God aka Chuck has created many worlds within a multiverse. While usually separate, they can sometimes be accessed via portals. These worlds may be very different from Earth or similar with minor changes.
In addition to these alternate worlds, Characters may find themselves in an Alternate Reality constructed by a powerful being or induced by a drug, or they may find their own universe altered by time travel.
Alternate Universes and Other Worlds
Fairies live in a realm separate from ours, although they can move between their world and ours. The land of Oz is situated in the fairy realm.
Oz can be accessed from Earth through the use of a special key that turns any door into an entrance to Oz. The only other method of entry into Oz is through natural disasters like tornadoes, the eye of a hurricane, or whirlpools.
World without Supernatural
Balthazar sends Sam and Dean into an alternate universe, ostensibly to keep the key to where all the angelic weapons are being stored safe from Raphael. They find themselves in a world where their lives are the basis of a TV show, and they are actually actors - Jared Padalecki and Jensen Ackles. In this universe spells don't work, and the supernatural doesn't exist. When they get back to their own universe, Sam and Dean find out the whole thing was a diversion so that Castiel could access the weapons.
Episodes: 6.15 The French Mistake
Apocalypse World is located in an alternate universe, one in which the forces of Heaven and Hell are fighting in an eternal battle with humanity caught in the middle. It is connected to the normal world by a portal opened by the Nephilim son of Lucifer -- Jack.
Episodes: 12.23 All Along the Watchtower, 13.01 Lost and Found, 13.02 The Rising Son, 13.07 War of the Worlds, 13.09 The Bad Place, 13.14 Good Intentions, 13.18 Bring 'em Back Alive, 13.20 Unfinished Business, 13.21 Beat the Devil, 13.22 Exodus
The "Bad Place" is a world located in an alternate universe, where giant monsters appear to be the dominant species of the planet.
A ghost sends Sam, Dean, and Castiel into a TV where they enter the world of Scooby-Doo, meet up with the Scooby Gang, and join forces to defeat the ghost.
Episodes: 13.16 Scoobynatural
Tentacle Porn Land
"Tentacle Porn Land", so dubbed by Dean, is the home of the tentacled cosmic deities Yokoth and Glythur. Not much is known of their universe other than that Yokoth and Glythur have consumed most of it.
Episodes: 13.17 The Thing
AUs in Fanfiction
In fan fiction, an AU refers to a story that diverges significantly from the canon in the Show. Generally the writer will choose to alter key events in canon (known as the Point of Divergence (POD) ) e.g. John dies when Sam is a baby and the boys are raised by Mary, Dean doesn't go to hell, or Castiel falls and becomes human.
Some stories may become AU as new information is later revealed on the Show. This is especially true of stories written between seasons, where a fic is based on certain assumptions of what may occur that are then disproved by later canon (also known as being Jossed, a term coined in relation to Joss Whedon and the Buffy verse). In Supernatural fandom the term Kripked was coined to describe the opposite phenomenon - when events in fan fiction are later confirmed by canon.
If a story is generally compliant with major events, the introduction of a sexual relationship between characters - whether it's Wincest, for example, or Destiel, or Gabriel/Balthazar, is not considered to make a story an AU.
Some stories may be set in a totally different universe (e.g. Sam, Dean, and Castiel are professional bull riders or FBI agents). These stories more closely resemble original fiction in that the characters share little in common, other than their names and some personality traits, with their canonical versions. These stories are more common in RPF fics. In RPF AU stories are essentially original fiction, where the major characters are named, and occasionally very loosely based, on real people.