I am conscious of not having posted for a while and on my trawls around the net just came across these two articles about attitudes to death and religious beliefs.
Understanding Death Through Religion
Studies of Death and Religion
Both are introductory, and the writer seems to be a graduate student so published these on the net as essays she probably wrote for her course. The first of the two is particularly useful as right at the bottom of the page are some references to research and literature.
It is often assumed that one of the reasons for the emergence of religions and religious beliefs is that they aim to answer ultimate questions of existence, origins, life and death. After a casual read, this view may have to be looked at more carefully as the data so far seems to be conflicting. Although religious belief seems to lower the anxiety associated with thoughts of one's own demise, this also seems to depend on what kind of beliefs one holds. Those who hold apocalyptic visions of brimstone and fire or the threat of eternal damnation seem less comforted by such beliefs - not exactly surprising given the possibility of eternal hell.
I think a lot more research is needed, especially looking more closely at people's experiences and overall philosophy rather than tagging everyone with a religious (or non-religious) label. I suspect experiences may be more important than which denomination one belongs to. For example, people with near-death experiences or other altered states seem likely to be less fearful of death. I myself have had some close experiences with death and found it to be a state of calm equipoise without fear - a kind of base consciousness often described in Buddhist literature. Only when the rational mind kicked in did I start to wonder what was going on - still not fearful, just puzzled. Dare I say, I have no great fear of dying. If it ends up being a transition to something else, then that transition need not be unpleasant - if it is the final full-stop at the end of the book then we can close the covers without fear.