Current scientific thinking is that energy cannot be created or destroyed. Everything we are, from our thoughts and dreams, to our physical body, is made of nothing but energy and an awful lot of nothing. Actually, we are mostly made of nothing, interspersed with bits of nothing that have, in some way, folded in on themselves to create bits of energy.
When we die the energy that is us will continue, just in a different form. This is what science tells us and I find some comfort in knowing that whether the atheists or the religious are right - this much is true.
As for the rest, I don't know whether the consciousness that is me will continue, maybe it will blend into some great cosmic consciousness, maybe it will cease to exist, maybe it will dream it's in a meadow of eternal summer being fed cream cheese and perfect tomatoes on gorgeous crusty bread for a few years before heading back down for another go.
This is one of my favourite pieces of writing:
Unto them from whose eyes the veil of life hath fallen may there be granted the accomplishment of their true Wills; whether they will absorption in the Infinite, or to be united with their chosen and preferred, or to be in contemplation, or to be at peace, or to achieve the labour and heroism of incarnation on this planet or another, or in any Star, or aught else, unto them may there be granted the accomplishment of their wills; yea, the accomplishment of their wills.