I understand that each refers to a place where neither the speaker nor the listener are. But Im just wondering what the difference is?
Lá, além and acolá can all be used to refer a place that’s not where the speaker and the listner are, but in my experience acolá and além (in this sense) are used, like ali, to point or direct to places (exophoric use), whereas lá is used to refer to the place you've mentioned before (anaphoric use). Now I am from Portugal, so I can speak confidently about European Portuguese only. I found the usages I describe below backed up by examples from Brazilian speakers, but there may be more to it that I do not know. But this is an old question without answer, so here it goes.
Lá, but not além or acolá, is used to refer to the place that has just been mentioned:
Passei ontem em casa da Ana. O Bruno estava lá.
Vivi uns anos em Inglaterra. Foi lá que conheci a Joana.
Ana: Tens ido ao escritório, Bruno?
Bruno: Venho agora de lá. / Vou agora para lá. / Passei ontem por lá.
It can also be added for emphasis just before you mention a place. Here it can be omitted without changing the basic meaning of the sentence; it just emphasises that the place is not next to you:
Lá em Inglaterra bebe-se muito mais cerveja do que aqui em Portugal.
O João foi lá para a casa da Ana.
Acolá, além and ali, but not usually lá, can be used to refer to a place you’re pointing to or otherwise indicating, say, by looking at it. Say, you could point or turn your head towards the place and say, o João está ali/acolá/além. Acolá and especially além suggest a greater distance. But acolá is not much used, and além (in this sense) is even less. The word you normally use for this purpose is ali. Além sounds a bit more familiar to me when it comes with a further indication to help locate the place:
Foi ali/acolá/além, ao pé daquela árvore, que eu achei o relógio.
I searched the net, and nearly all examples I found of this usage of além are from Portugal. Perhaps it was more common in Brazil in former times. Here’s an example from Brazilian writer Aluísio Azevedo (1857 – 1913):
Olha! Não vês além, junto daquelas colunas, como aqueles dois se beijam?
Aulete dictionary (entry 2) has a similar example from another, even earlier, Brazilian writer.
This usage of acolá is not that common either, but I could find a few examples from more recent Brazilian writers, like “Acolá, juto à porta” (2001) or “Pode acupá aquela mesa acolá!” (1966). Far more common is the use in expressions like aqui e acolá (’here and there’).
You already know além can mean ’beyond’, which the other words don’t. And I’ve not covered all possible usages; just the most common ones in my experience. Especially lá and ali are very versatile. This other question addresses the use of ali to refer to a place you’ve mentioned, not one you’re pointing to.
My answer is based on my life experiencie only (as brazillian). But this may provide you an insight.
From my experience,
lá usually refers to either a place close to
both speaker and listener, or to a very far away place from them.
O livro tá lá na sala
Can be used even if the living room is near.
Comprei esta canenca lá na Alemanha
Used even if Alemanha is far away.
lá is very common. It's one of the word you need to know about
to understand portuguese.
além can mean a place after another.
a vila fica além das montanhas.
So, there are mountains, and somewhere after the mountains, there is the village.
it can also mean a very far away place if used with some language expressions
o arco-íris se põe além do horizonte
horizonte is the farest place you can see (literally). So,
além do horizonte means a far away place.
I've never heard anybody saiying that in any context other than reading
poems or old literature books back in school. Even my grandparents don't say it. It seems to me that
acolá has nearly the same meaning of
lá, but I'm unsure. If you gotta say
acolá, it may sound weird