If you're a good Christian (wo)man, you'll go to Heaven when you die, and you'll live among God and the angels. Well, that sounds nice, sound peaceful, and at the same time, a little boring. Not my first choice, but if that's what happens, it happens. If you're not so good, you go to hell and you're supposed to be tortured for all eternity. That place has got to be warm at least, and I don't think that happens, because Lucifer needs to train and amass an army...Why would he torture the already limited populous going there? Seems illogical. So Hell is, in my understanding, a lovely warm place where you train for a great war until it happens...Also doesn't sound horrible given that if you're there you don't have that much of a choice. I don't know the stipulations for getting to Purgatory, but the general consensus is it's so-so. Speaks for itself to me.
The Buddhists pretty much just give you the idea of reincarnation, which is the most scientifically proven thing with the whole dispersion and reattachment of the atoms pretty much saying "YO! REBORN!" So that's all lovely. Seems logical.
I'm not sure what the romans/greeks thought, with the Mount Olympus thing, but I think it'd be fuckin' sweet to hang out with the Gods like Ares and Zeus and shit. Think about it, you die and all of a sudden you're hanging out with SUPERHEROES? How sweet would that be? Maybe Kratos is real and the game designers had an inside tip.
My personal favorite and complete hope to the afterlife is that if you die, you join the God-men in Valhalla. Drinking, fighting, bro-ing out with the best companions you could ask for. What's not to like about that? To top it all off, a beautiful Valkyrie takes you away to Valhalla. You then fight on a battlefield with no allegiances, die in battle again, and essentially respawn back in the great mead hall with the same people that killed you, only to drink and enjoy the day as if nothing had happened and to do it again. It's the ultimate Appreciate the Little Things and it's fantastic sounding.
There are so many possibilities of what happens when you die that you shouldn't even stress it. Focus on making yourself immortal in this life. Create good things NOW, that way there's no question as to what happens when you die, only that you'll never be forgotten. Immortalize yourself. That way what happens when you die never stops.