This is always the most difficult question to answer.
Humans are probably unique among "higher" life-forms in that we know that we are going to die, in most cases a long time before it happens. When we are fully able to comprehend what this means, I think it is fair to say that we are all frightened and saddened.
So it is perhaps the most natural thing that we desire to survive our own deaths, and to be able to believe that this can not only be achieved but that our "afterlife" will be even better than our current life is such an attractive concept it is no wonder that it has proved such a popular belief. This has to be even more true for people who are not as lucky as us - people for whom this life really is a kind of hell. (I know we all enjoy a good moan now and then, but we lead a good life compared to many in this world).
But there is nothing noble about clinging to a belief because it makes you feel better. I can understand, indeed I sympathise greatly with people who just cannot give up this hope. Perhaps it is a hope that they need to cling to, that gives them strength to face their life. But I think it takes greater courage to face up to the fact that you have this one life, and to face death squarely knowing it to be the end; than to spend your last hours muttering feverishly at some imaginary friend.
This is a difficult topic to broach with a lot of people, as it is most likely their ultimate and most dreaded fear. And I don't doubt that for some, to lose their hope in an afterlife would fill them with despair. Sometimes people come round to it little by little as they face their fears and come to terms with them. I myself have always thought it ironic in my own case that as my belief in an afterlife dwindled, I found my fear of death dwindling too.
Here are a couple of things that I have found both inspiring and thought-provoking.
Richard Dawkins in Unweaving the Rainbow
"We are going to die, and that makes us the lucky ones. Most people are never going to die because they are never going to be born. The potential people who could have been here in my place but who will in fact never see the light of day outnumber the sand grains of Arabia. Certainly those unborn ghosts include greater poets than Keats, scientists greater than Newton. We know this because the set of possible people allowed by our DNA so massively exceeds the set of actual people. In the teeth of these stupefying odds it is you and I, in our ordinariness, that are here.”
and Tim Minchin's Storm
(his beat-poem is mainly about scepticism and antiscience; but he addresses the question of life being enough for us)