"I would be completely depressed if I believed that once we die, there is nothing."
Those were your exact words, buddy.
Or I am seeing things?
The Buddhists of today are mistaken and nearly three millennia have elapsed since the time of the Buddha. His story tells us that he was very much an agnostic, and he had every right to be one at that time. It is not hard to imagine that the Buddha, as curious as he was about nature, would be looking at science if he lived today. Sure, Tibetan Buddhism has deities and the belief in reincarnation. But that is a faction of 'modern' Buddhism.
Buddhism in its infancy was uncorrupted and there are a few followers today. Like I said before, acceptance of the way things are and what may come is what prepares you. It's not about belief, it is about being sure of what we already know and not welcoming infeasible fantasies like they're absolute truths.
The comparison they make between reality and lucid dreaming is none other than this - and this is also what science has already established: the 'mental clay' that we use to create a model of the external world that we perceive is the same one used for inventing other realities when we dream. During sleep, this brain mechanism is unconstrained by sensory input and is free to create whatever from the information that it already contains.
You can only perceive the world with what you got. Your organism. A fly or a lion will perceive it differently. Buddhism is also the only religion (although I don't really consider it to be one) that acknowledges this. No living creature can really see the external world exactly as it is - only their own mental model of it. That's how it works. That's why the world is like a lucid dream - because the interpretation of it also happens in our heads. What we see is a product of visual centres in our brain based on how the light frequencies that our eyes receive excite our cells and are converted into electrical impulses.
I just can't imagine my consciousness ceasing to exist. I couldn't believe in something that I thought was wrong just to make myself feel better. I really just can't believe in not continuing after this life.
Can you imagine being unconscious? Can you imagine any sort of experience in that state? No. And yet, it happens, and it happens when you are alive - you don't even have to be dead. Moreover, you are saying that you just can't believe in not continuing after this life... but what about the overwhelming evidence that strongly suggests otherwise? Just talk to someone who has a family member at the final stages of Alzheimer's or any other degenerative disease for that matter. See what dementia can do to people not to mention several types of brain damage.
Observe a split-brain patient and see how they behave and what they are aware of. Watch the mind be divided into two, quite literally! Also, consider that there is no evidence of a ghost or a humunculus controlling us. Hell, hypnosis can make a person forget who they are or make them susceptible to external suggestions. The mind is intrinsically empty (just meditate and see what you can achieve without even looking for it). There is nothing inside our heads but fleshy bits with great chemistry. You are a conglomerate of cells and nothing more. Once they all cease to function, you
are no more. The illusion of "I" ceases to be.
And why worry about ceasing to exist at death? There won't be a 'you' to know. You won't be aware of anything. There is no suffering. There is no pressure. I'd be more worried about lasting an eternity. Think about it... it would drive you mad. You would soon run out of things to do and think! You would bore yourself into insanity. Death is a blessing in disguise.