I like how Gandalf put it. "Death is not the end, it is but one part of the journey. A step we must all take." I think Tolkein was absolutely right in that the road goes ever on. At least that is my hope.
To quote Harry Dresden/Jim Butcher, "Death is a part of living."
If there wasn't the looming threat of death or the experience of losing loved ones, we wouldn't appreciate life and relationships as acutely as we do. Just as you can't fully appreciate peace or happiness if you have never experienced strife or sadness.
Besides, there are things worse than death. To be trapped in suffering and unable to ever die, what a curse that would be.