Well the thread is completely shifted to religion now. Once again: It is not that simple. But it is an interesting topic.
Doing a google search on this is worthless: Every link is biased one way or another. It is either a religious preaching site or an atheism preaching site. Quite annoying how militant people are regarding this topic.
In my opinion a religious man would be much more scared of death, because then according to his beliefs he will be judged. And if his choices and behavior in life were not good enough, (At least in Christianity) he will be condemned to eternity of suffering.
Do you feel anxious before an exam or an interview? Now think about about life in the scope of following the religious teachings: It is impossible to follow it to perfection and no way to tell what will be held more harshly. So one is never sure if he/she would pass. Especially when you don't know when you actually die.
Now for atheist it is much simpler: Oblivion. After you are dead, there is nothing else. You just cease to exist. It is sometimes insightful to ponder non-existence before existential despair begins creeping in.
While this seems scary, the atheist is free from worrying about being stuck in a fate-worse-than-death. Death itself is scary on its own (Mostly because it is rarely clean and quick. By definition there is no pain afterwards, but quite a bit just before), but after that there is a guarantee of no more suffering.