G-Men from Hell (2001)

Mike Mattress and Dean Crept, two former FBI agents, or G-Men, are framed and killed in an ambush, and then wrongly sent to Hell. They escape back to earth, believing that by performing good deeds, they can prove they were sent down to Hell by mistake. There is one problem though: they were told what to do their whole lives by the Bureau, and now they are not sure exactly how to do a good deed, or even what one is. Once on Earth they set themselves up as private detectives in the Snap City, looking to help people and avenge their deaths. But Snap City is populated with a bevy of bizarre personalities, each full of self-doubt and existential uncertainty.