"Many people assume that religious people are less anxious about death than the non-religious. After all, the most popular religions (Islam and Christianity) explicitly hold out the promise of eternal rewards for the faithful.
However, it's not quite that simple. After all, traditional versions of these gods are also pretty vengeful, and if you believe in a vengeful god, then you have to face the distinct possibility of some pretty nasty experiences after death. After all, even holy people usually have some guilty secrets.
The results for Malaysia were striking. There was a clear linear relationship between religiosity and fear of death. There was a similar relationship in Turkey, although less strong (they interviewed far fewer people in Turkey, however).
Even more striking were the results in the USA. Here, there was a curvilinear relationship - death anxiety was highest in those with average religious feelings.
The reason for these differences is probably down to differences in religious beliefs between Muslims and Christians. Muslims had the highest fear of death - the lowest fear of death was seen in the non-religious in America and Christians in Malaysia."
Epiphenom, Tom Rees, March 24, 2012