There's nothing like philosophical threads.
I came to the conclusion that it simply is the next step. I'm wondering where too, but then again since every culture seems to have another idea of this, I won't decide and just go with the flow.
I must admit that the Indian way is interesting. It says that one will join the camp fire among all of their own kind and smoke some with the great spirit(s).
Reincarnation is another incentive to live your life in a good way. Or else you'll return lower in the food chain. The true beauty of this is that if you're a buddhist, you truly embrace every form of life. Boedism however is not a belief/faith, it's a way of life.
Or what about the viking way, you'll be send into sea on a burning boat filled with all kinds of stuff and a virgin, Walhalla must be sweet.
Then their is the Stoa, a group in old Rome (among them Seneca). They fear nothing at one point. Because they believe that after dead comes the same as before birth. And since you will feel no pain, you'll have nothing to fear in life. Seneca explained this using some weird story about an oillamp but the moment he died (drinking poison), he could have escaped, however he did not and without fear he excepted his faith.
Well to keep it short. I think you should live a good and honorable life and enjoy it.