Any living creature fears death... at least on an instinctual level... That accounts for our self-preservation instincts.
Humans though, hold a special fear of death... we have the mental capacity to wonder about the afterlife... Heaven? Hell? Purgatory? Reincarnation?
All of these (and any religion) could be explained as humanity's desperate need for self-preservation, immortality, in a sense.
Because we fear oblivion.
The complete cessation of conciousness.
Just thinking about it makes me squirm in despair... I'm surprised that humanity, in it's knowledge of death being inevitable, hasn't gone mad entirely.