My therapist loaned me a CD that really helped with my fears about death (both my own and the death of others):

Clarissa Pinkola Estes' "The Radiant Coat: Myths and Stories about the Crossing Between Life and Death"

I found it really useful and comforting, particularly as a person that doesn't have a particular religion. It has helped reduce my anxiety and my perserverating thoughts on the topic of death in general.