Hell was not really an eternal punishment. It was more of a place where you beat up people that are weaker than you. For Vegeta, that included everybody. He could beat Frieza and Cell without breaking a sweat, but it wasn't any fun. They would simply reappear soon afterwards.
Frieza and Cell, however, have always gotten pleasure from causing harm. They would kill whoever they could get their hands on, before they eventually got killed by Vegeta. After that, the entire process would repeat itself. Maybe Hell was an eternal punishment. Not one of pain or death, but of boredom.
An endless cycle of boredom.
That boredom was, however, broken, by the arrival of Hell's new resident, Majin Buu.
When the rift between worlds opened, the residents of Hell watched in awe. Some of them, such as Vegeta, had the ability to sense energy, so they knew that whoever had just broken in was extremely powerful. It was expected to be a vicous warlord, a creature of terror.
Instead, when the interdimensional mist cleared, the party crasher was revealed to be none other than Majin Buu.
And he had a lot of toys to play with.
"Buu don't know where Buu am, but it boring!" squealed Majin Buu.
In response, Cell fired a beam towards the pink demon, melting a small hole through its chest.
"Ha!" roared Cell triamphantly.
Of course, this attack didn't even faze him. Majin Buu quickly regenerated, and went on to slaughter everyone in Hell.
"I need to get the here out of here!" thought Vegeta, not wanting to stay with the Pink Icecream Sausage Demon any longer. "The beast's power seems to be so great, that he can break between dimensions. If I can get him to power up, he might create a way for me to escape this place."
Vegeta paused for a moment, relishing the sweet sight of Majin Buu crushing Frieza's skull. He then went on with his plan.
"Hey, ugly!" shouted the Saiyan.
The pink beast turned around, looking at Vegeta. "You talk to Buu?"
"Yes, you fool, you fat oaf!"
"You make Buu..." began the demon.
Majin Buu began producing steam from the holes in his scalp, his power rising at the same time.
"...Mad!" he continued, created a field of darkness where the sound hit.
"Now's my chance!" thought Vegeta.
"Hey, Buu! Is that a Snickers bar over there?" asked Vegeta, pointing off into the far distance.
"Wha-" Buu began, before stopping himself short as he realized that Vegeta had already left through the rift.
Buu followed him, along with every resident of Hell that had not yet been made into candy.