Real Audio Lessons on this Topic
Purgatory is not Hell minus a few torments and degrees Fahrenheit; it's not Heaven minus joy. It's not a "Third Final Destination" of souls. Purgatory is simply the place where already saved souls are cleansed of the temporal effects of sin before they are allowed to see the holy face of Almighty God. Revelation 21:27 tells us that "...nothing unclean will enter [Heaven]."
That there are temporal effects of sin is obvious when one considers that even those who have been baptized, who have a deep and intimate relationshp with Jesus, who are the "elect" or "the saved/being saved," or what have you, are subject to pain, work, death and sickness.
The best way to understand the idea of already being forgiven but still having to be cleansed of the temporal effects of sin is by analogy: imagine you are the parent of a 7-year old child who steals a candy bar from the local grocery. The child is repentant, in tears, sobbing his apologies. You, being the good parent (as God, our Father is!) forgive that child and love him and show him your mercy. But being a good parent means that you are also just and will expect that child to pay back the store. Purgatory is God's way of forgiving us, loving us, showing us His mercy and justice -- and making us "pay back the store." Can you imagine what would happen to the child of a parent who never expected that child to "pay back the store" (especially when that same parent believed also that there was nothing that child could do to become "disinherited," as in the "once saved, always saved" doctrine)? As always, the best way to understand Catholic doctrine is to think of God as the wisest, most loving, most merciful, and most just Father that we can possibly envision.
Nota bene: Purgatory is His way of ensuring that Revelation 21:27 is true and that nothing unclean will see Heaven. It is only through Christ's sacrifice that we are shown this mercy! It is Christ and Christ alone Who allows us access to the Father.
OK, so where's the word "Purgatory" in the Bible? It's isn't in the Bible, but neither are the words "Trinity," "abortion," "lesbianism," and "cloning" (or "Rapture," for that matter), and it doesn't matter whether you call the process of purgation "purgatory" or the "Final Theosis": the concept of a "final cleansing" or "purgation" for those who require it is very evident in the Bible, in the writings of the early Church Fathers, and in the Old Testament religion whence Christianity sprang.
Daniel 12:2, Matthew 12:32, 1 Corinthians 3:13-15, 2 Timothy 1:16-18, Hebrews 12:14, Hebrews 12:22-23, 1 Peter 4:6 and Revelation 21:10, 27 all speak of Purgatory in their telling of the need for purification, prayers for the dead, Christ's preaching to the dead, or how nothing unclean will see God.
Tertullian comes right out and says in The Crown 3:3, dated A.D. 211, "We offer sacrifices for the dead on their birthday anniversaries". Cyprian of Carthage writes in A.D. 253:
It is one thing to stand for pardon, another thing to attain to glory; it is one thing, when cast into prison, not to go out thence until one has paid the uttermost farthing; another thing at once to receive the wages of faith and courage. It is one thing, tortured by long suffering for sins, to be cleansed and long purged by fire; another to have purged all sins by suffering. It is one thing, in fine, to be in suspense till the sentence of God at the day of judgment; another to be at once crowned by the Lord.
From St. John Chrysostom in his Homilies on 1 Corinthians 41:5, A.D. 392:
Let us not hesitate to help those who have died and to offer our prayers for them.
to St. Augustine's A.D. 419. City of God:
Temporal punishments are suffered by some in this life only, by some after death, by some both here and hereafter, but all of them before that last and strictest judgment. But not all who suffer temporal punishments after death will come to eternal punishments, which are to follow after that judgment"
the Church Fathers speak of purgation.
Archaeology also indicates the antiquity of the Christian belief in Purgatory/the Final Theosis: the tombs of the ancient Christians were inscribed with words of petition for peace and for rest, and at the anniversaries of deaths, the faithful gathered at the graves of the departed to make intercession for those who'd gone before.
Orthodox Jewish practices, which branched off from the Old Testament religion, to this day reflect belief in this "place" of final purification which they call Gehenom: when an Orthodox Jewish person dies, a ritual called the taharah is performed by the "Chevra kaddisha -- gmilat khessed shel emet," the "Holy Society" or "Burial Society" of Jews knowledgeable in these traditional duties. They cleanse and prepare the physical body and recite the required prayers (Chevra Kadisha) which ask God for forgiveness for any sins the departed may have committed, and beg Him to guard and grant eternal peace to the departed. For eleven months after the death of a loved one certain members of the family pray a prayer called the Mourner'sQaddish (or Kaddish) for their loved one's purification.
Even the The Talmud1 speaks of Purgatory:
Sabbath 33b:
"The judgment of the wicked in purgatory is twelve months."
Rosh HaShanah 16b-17a:
"It has been taught that the school of Shammai says: "There will be three groups on Judgment Day (yom haDin):
(1) one that is completely righteous,
(2) one that is completely wicked,
(3) and one that is in between."
The completely righteous will be recorded and sealed at once for eternal life. The completely wicked will be recorded and doomed at once to Gehinnom, as it says: "And many who sleep in the dust of the earth shall rise up, some to eternal life and some to shame and eternal rejection" [Daniel 12:2]. Those in between will go down to Gehinnom and cry out and rise up, as it says: "And I will bring the third part through the fire and refine them as silver is refined and test them as gold is tested. They will call on my name and I will answer them" [Zechariah 13:9]
Rabbi Shammai (50 BC - AD 30), one of the two main teachers of early rabbinical Judaism, also is on record as having interpreted Zechariah 13:9 as referring to a state of purification after death. Isaiah 66:15-16 and Malachi 3:2-3 were also interpreted in rabbinic literature as referring to the purgatorial process, and the same theme is reflected in Wisdom 3:1-7 and II Maccabees 12:43-45, both contained in the Deuterocanonical books that Protestants refer to as "The Apocrypha."
Jews, Catholics, and Eastern Orthodox have always proclaimed the reality of the final purification for those who need it. It was not until the Protestant Reformers came in the 1500s that any Christians denied the idea of a final purgation before seeing the face of God.
Footnotes
1 The Talmud, consisting of the writings of rabbis who came to believe they'd replaced the authority of Jewish priesthood after the destruction of the Temple, has some extremely vile, racist and anti-Christian statements in it. My purpose in quoting it here is not to condone it, but to demonstrate that the Jews most definitely believed in a purgatorial process after death. For more information on how Jesus and non-Jewish people ("goyim") are written about in the Talmud, do a simple web search for those terms -- but be warned that among search returns carrying sincere information and quests for Truth, you will get a lot of racist sites whose creators revel in this sort of information and see it as somehow "proving" that there is something evil about those who were simply born Jewish. Cultural criticism is one thing, but who one's parents are never matters to our Lord! 
Relevant Scripture
2 Samuel 12:13-16
David said to Nathan, "I have sinned against the LORD." And Nathan said to David, "The LORD also has put away your sin; you shall not die. Nevertheless, because by this deed you have utterly scorned the LORD, the child that is born to you shall die." Then Nathan went to his house. And the LORD struck the child that Uri'ah's wife bore to David, and it became sick. David therefore besought God for the child; and David fasted, and went in and lay all night upon the ground. [Note that God has "put away" David's sins, but David still fasts. This is the same as in Numbers, when Moses was still excluded from the Promised Land even after he was forgiven for his sin of striking the rock twice with his rod.]
2 Maccabees 12:43-46
He also took up a collection, man by man, to the amount of two thousand drachmas of silver, and sent it to Jerusalem to provide for a sin offering. In doing this he acted very well and honorably, taking account of the resurrection. For if he were not expecting that those who had fallen would rise again, it would have been superfluous and foolish to pray for the dead. But if he was looking to the splendid reward that is laid up for those who fall asleep in godliness, it was a holy and pious thought. Therefore he made atonement for the dead, that they might be delivered from their sin.
Wisdom 3:1-7
But the souls of the just are in God's hand; no torment will touch them. in the eyes of the foolish they seemed to be dead; their departure was reckoned as defeat, and their going from us a disaster. But they are at peace, for though in the sight of men they may suffer punishment, they have a sure hope of immortality, and after a little chastisement they will receive great blessings, because God has tested them and found them worthy to be His. He put them to the proof like gold in a crucible, and found them acceptable like an offering burnt whole on the altar. In the hour of their judgement they will shine in glory and will sweep over the world like sparks through stubble.
Isaiah 66:15-16
For, behold, the LORD will come with fire, and with his chariots like a whirlwind, to render his anger with fury, and his rebuke with flames of fire. For by fire and by his sword will the LORD plead with all flesh: and the slain of the LORD shall be many.
Daniel 12:2
And many of them that sleep in the dust of the earth shall awake, some to everlasting life, and some to shame and everlasting contempt.
Daniel 12:10
Many shall be purified, and made white, and tried; but the wicked shall do wickedly: and none of the wicked shall understand; but the wise shall understand.
Zechariah 13:9
I will lead that third into the fire, and refine them as silver is refined, test them as gold is tested. They will call on my name and I shall listen; and I shall say: These are my people; and each will say, "Yahweh is my God!"
Malachi 3:2-3
But who may abide the day of his coming? and who shall stand when he appeareth? for he is like a refiner's fire, and like fullers' soap: And he shall sit as a refiner and purifier of silver: and he shall purify the sons of Levi, and purge them as gold and silver, that they may offer unto the LORD an offering in righteousness.
Matthew 5:26
Verily I say unto thee, Thou shalt by no means come out thence, till thou hast paid the uttermost farthing. [Note He didn't say, "until I pay the last farthing for you." He JUSTIFIES us -- without Him we can NEVER justify ourselves! Nothing we do can EVER get us into Heaven without His Blood. But we are expected to grow up, too. Our Father is wise.]
Matthew 12:32
And whoever says a word against the Son of man will be forgiven; but whoever speaks against the Holy Spirit will not be forgiven, either in this age or in the age to come
Luke 12:47-48
And that servant, which knew his lord's will, and prepared not himself, neither did according to his will, shall be beaten with many stripes. But he that knew not, and did commit things worthy of stripes, shall be beaten with few stripes. For unto whomsoever much is given, of him shall be much required: and to whom men have committed much, of him they will ask the more.
Luke 12:58-59
When thou goest with thine adversary to the magistrate, as thou art in the way, give diligence that thou mayest be delivered from him; lest he hale thee to the judge, and the judge deliver thee to the officer, and the officer cast thee into prison. I tell thee, thou shalt not depart thence, till thou hast paid the very last mite. [RSV: "As you go with your accuser before the magistrate, make an effort to settle with him on the way, lest he drag you to the judge, and the judge hand you over to the officer, and the officer put you in prison. I tell you, you will never get out till you have paid the very last copper."]
1 Corinthians 3:13-15
Every man's work shall be made manifest: for the day shall declare it, because it shall be revealed by fire; and the fire shall try every man's work of what sort it is. If any man's work abide which he hath built thereupon, he shall receive a reward. If any man's work shall be burned, he shall suffer loss: but he himself shall be saved; yet so as by fire.
2 Timothy 1:16-18
The Lord give mercy unto the house of Onesiphorus [who just died]; for he oft refreshed me, and was not ashamed of my chain: But, when he was in Rome, he sought me out very diligently, and found me. The Lord grant unto him that he may find mercy of the Lord in that day: and in how many things he ministered unto me at Ephesus, thou knowest very well.
Hebrews 2:27-28
And as it is appointed unto men once to die, but after this the judgment: So Christ was once offered to bear the sins of many; and unto them that look for him shall he appear the second time without sin unto salvation.
Hebrews 12:14
Follow peace with all men, and holiness, without which no man shall see the Lord
Hebrews 12:22-23
But ye are come unto mount Sion, and unto the city of the living God, the heavenly Jerusalem, ... and to the spirits of just men made perfect
I Peter 3:16-19
Having a good conscience; that, whereas they speak evil of you, as of evildoers, they may be ashamed that falsely accuse your good conversation in Christ. For it is better, if the will of God be so, that ye suffer for well doing, than for evil doing. 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: By which also he went and preached unto the spirits in prison;
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. [Comment: These dead could not have been in Hell; there's no escaping Hell. They couldn't have been in Heaven. So where were they?]
Revelation 21:10, 27
And he carried me away in the spirit to a great and high mountain, and shewed me that great city, the holy Jerusalem, descending out of heaven from God... And there shall in no wise enter into it any thing that defileth, neither whatsoever worketh abomination, or maketh a lie: but they which are written in the Lamb's book of life.
Further Reading
How to Explain Purgatory to Protestants (James Akin)
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