I have spent some time thinking about this. Let's see if anyone wants to chew on it :-)
Much has been said of desire for life being an impetus for belief in certain things. I suspect that it actually goes far beyond a case of simple "need" -- after all, animals seem to deal with their own death somewhat more gracefully -- and they have self-preservation instinct like all of us, but when they become morbidly ill many pets will seem content to crawl off into a dark corner to quietly meet their end.
What is it about humans? Yes there is the power of abstract thought that gives us more possibilities, but I think it goes beyond that, to the actual structure of the way we think about and perceive things. I say "things", because, that's really how we perceive everything isn't it. We think about people, places, cars, houses, trees, telescopes, etc. as more or less permanent "objects" in space, although they may change form (a car becomes scrap metal, etc.) we perceive that the "things", or the things they consist of, more or less always "exist".
Which brings us to the notion of the "self". This perception of the "I", the "me" the very nucleus of our consciousness, and therefore our 'existence'. Because we can perceive "it", we give it a name, the "soul", the "spirit", and we treat it like another "thing" in space.
But here's the rub: consciousness is not a "thing". It is an "event" -- a process, an instant in time, which represents the conversion of energy (through sensory stimuli) into information in the brain (memories) -- or, as in the case of thought, using energy (produced by food) to reprocess existing information in the brain. The brain itself is not, of course, the consciousness -- a dead brain (or even a nondreaming sleeping brain) is not conscious -- rather, the consciousness is the process, the "event" of certain activities within it.
As any such space-time "event" one would expect this event to have a certain span, an appropriate place for it in time, just as an "object" spans a certain amount of space. But our natural mental inclination to model the self as a "thing" rather than a space-time "event" predisposes us to lend it object-like permanence. Death, then is not so much an end of 'existence' per se, since one then never really 'existed' in the sense that we usually use the word anyway -- rather, it is more accurate to describe it as a boundary condition of a space-time "event".
