People fear death because they cant stop it. So they feel like they're powerless against it. And, well, once you die you're not coming back.
And people grow attatchments on Earth, wether its with a person, an object or whatever. They don't want to leave it behind. They want to stay with them forever.
And then there's the whole matter of what happens to you after you die. Do you lay in the Earth, are you reincarnated, do you spend the rest of your undead life in Heaven or Hell? Some people may be undecided on religion when they die and might fear that they'll be thrown into eternal damnation or whatnot. Others might die peacefully thinking they're gonna spend life with their God.

But, like I said, I think most people fear death simply because its an unknown. People always fear things they don't understand. Death is no exception.