In all honesty, I'm kind of jealous of religious people. While the faithful gets to go about their lives all warm and fuzzy about a life ever after beyond death, Atheism (at least mine) offers no such comfort regarding an after life beyond this one I'm currently doing ... right here, right now. Don't get me wrong. It's not a constant beating of the doldrum, but occasionally while I'm drifting off to sleep and my mind begins its wander, the stark fleetingness of this life can snatch me quickly from the doze. But that's not what bums me out most about being an Atheist.
A very religious friend told me a long time ago that God loved me, not in spite of my Atheism but rather because of it. When I asked her for clarifcation, she said it was because God doesn't like people who are half-assed with their beliefs. While that conversation wasn't enough to convert me back to Christianity, it was a representation of God I really liked; and ever since then I've felt pretty good about my chances of getting into heaven if I come to discover after my death that it actually exists. Believe me, I would loooooooove nothing more than to be proven wrong ... especially at that moment.
What bums me out most about being an Atheist is that if I am right in my beliefs that after death there's an immediate cut to black with no credits, and no nothing after, I'll never know for sure that I was right. Moreover, I'll never get the chance to tell anyone, "I told you so!"