Sulfur is one of the four main resources of the underworld (Inferno), harvested from the Sulfur Swirler. This is used for inferno defensive buildings, unlocking and upgrading infernomonsters. To gather Sulfur, click the Sulfur Swirler and click "Bank". The resource is only produced in Inferno but may be used in Inferno or the Overworld.
The General Store can provide you more Sulfur at a certain shiny cost. The cost depends on the amount of resources refilled.