It allows travel via spells to anywhere as it happens to be located in at a junction in space/time.  
 
In The Reckoning Lady Death finds the Nexus is anchored by her Mother between Earth and Hell. She releases her mother and allows her to travel to heavens gate via it. Later Lucifer was cast into it by Lady Death as she directed it towards Heaven's Gate once more and there by destroying him as he was not worthy of entry into that realm. 
 
Genocide wished to use the Nexus to destroy the universe by firing the Odin Power into it and destroying all the realms at once. He also imprisoned Bedlam in it.
 
It is the reason that creature called Armageddon chose to head for Earth in order to unmake the universe.