Getting out of hell is just the beginning
What do you do after you've escaped Hell, and then gone back, uncovered the true nature of God, and then managed to become the new Lucifer?
Well, if you're James Stark, you have to figure out how to run Hell while also trying to get back out of it (again). Plus there's the small matter of surviving. Because everyone in Heaven, Hell, and in between wants to be the fastest gun in the universe, and the best way to do so is to take down Lucifer, a.k.a. James Stark.
And it's not like being in L.A. is any better—a serial killer ghost is running wild, Stark's angelic alter ego is hiding among the lost days of time with a secret cabal who can rewrite reality, and starting to care for people and life again is a real bitch for a stone-cold killer.