A penetrating despair about the next world? (8)
I believe the answer is:
paradise
'the next world?' is the definition.
(thesaurus)
'a penetrating despair about' is the wordplay.
'penetrating' indicates putting letters inside.
'about' is an anagram indicator.
'despair' with letters rearranged gives 'pardise'.
'a' going into 'pardise' is 'PARADISE'.
(Other definitions for paradise that I've seen before include "Scene of bliss" , "What was lost to the poet" , "Garden of Eden" , "Eden; ideal place" , "Idyllic place" .)