I don't remember the story, but I believe this person is expected to return from Heaven or Hell after doing something there. If that is the case, (-て)こい is nearly mandatory. Just saying 「天国か地獄、好きな方に行け」 might almost sound like "Die! Don't come back here again!". Even in more realistic daily conversations, (-て)こい or (-て)きて is a very common word you usually need to add. For example, 買い物に行ってきて is much more natural than 買い物に行って, and the latter might sound like you want this person to get away.
Many subsidiary verbs including (-て)くる, (-て)いく, (-て)もらう and (-て)しまう may seem unnecessary at first because there are no direct equivalents in English. Still, they are very important words in Japanese. Failing to include them appropriately will result in a really awkward Japanese sentence.