Man's way of rationalising his fear of death and the implications of the choices he has made in life.
Add to this that it's also how humans explain things they don't understand. Lightning is just Zeus being pissed off for some reason, after all.
Maybe, but does that negate any existence after death at all? What if all religions are wrong but something exists? What if all religions are right and something exists? Isn't a belief in nothing at death a fairly grim way, overall, to look at life?
A great quote I saw on another forum, "Church isn't a collection of saints, it's a hospital for souls."
