I don't think it really matters whether there is oblivion or some form of transference of conciousness to another state or not.
If oblivion is our ultimate end then it is nothing to be afraid of as you will have no experience of that end anyway.
If there is some form of afterlife then all well and good, although as we would experience that, it may well be something to be terrified of.
Just consider that your conciousness is a form of energy, energy cannot be destroyed or created and as the Universe is essentially a closed system who can say how that energy is transformed as the body that houses it dies.
One thing is for sure however, whatever your belief you will find out one day, some sooner than others.