Well, as far as we know our consciousness is only sustained by our cerebral cortex, which breaks apart when we die. I really don't think there's some magical immaterial "soul" which somehow sustains our ego and memories after that. It just doesn't make sense.
Frankly i am perfectly content with the thought of no afterlife.
First of all because immortality (in my view) would be the worst torture imaginable. Being permanently locked in a state of consciousness and perceiving the ever familiar environment (no matter how 'good') forever and ever and ever would likely drive you insane. It's like trying to play some really fun game (like GTA4) 12 hours a day for 10 years, only much worse.