We believe he went to what is called the Spirit Prison to start the preaching of the gospel to those who had died and had not had the opportunity to hear about the gospel while they were alive. 
 
There are two scriptures in the New Testament that reference this: 
 
- 1 Peter 3:18-20 
18 For Christ also hath once suffered for sins, the just for the unjust, that he might bring us to God, being put to death in the flesh, but quickened by the Spirit:  
19 By which also he went and preached unto the spirits in prison;  
20 Which sometime were disobedient, when once the longsuffering of God waited in the days of Noah, while the ark was a preparing, wherein few, that is, eight souls were saved by water. 
 
and 1 Peter 4:6 
 
For for this cause was the gospel preached also to them that are dead, that they might be judged according to men in the flesh, but live according to God in the spirit.  
 
 
There is a great explanation for this whole event here: Link