People are afraid of dying because our genes have installed a survival mechanism in us. Even Ameobas freak out in front of eminent death. (Plus, death is usually painful and gruesome. The pain of my death actually scares me more than the knowledge I will die someday)
It's actually more surprising that some people can NOT be afraid of death- that shows a mindful mastery over our most basic instinct.
And I don't think we "go" anywhere when we die. No heaven or Hell, just nothing. Exactly like what you were before you were born- our mind just can't wrap itself around the concept of not existing- like the concept of infinty.