Some religions believe in reincarnation (to come back to life as a different person or even animal). These religions include Buddhism and Hinduism. Hinduism specifically believes that at death the soul leaves the physical body but does not die. It lives in an astral body in an astral plane. Here the soul continues until it is born again in another physical body as a baby.
Most people in the world believe you go to another place after you die, such as heaven or hell. Christianity, Judaism, Islam and Jainism are religions that believe in this. For example, those that follow Christianity believe that if you accept the Christ (Jesus of Nazareth, the son of the Virgin Mary) as your saviour, you will spend eternity in heaven after death; if you do not accept him, you will be separated from him after death. Ancient Egyptians also believed in an `afterlife`.
There are also those who do not believe that there is an afterlife, and that you simply cease to exist once you die. Atheism is based on refusal of the existence of a God and even in an afterlife.