I thought Sir Nick's speech was interesting, but unsettling...I'd been wondering how Rowling would approach such issues---Heaven, afterlife, what-have-you---but when it finally came I felt like it hit me in the face and then quickly hid behind a bush. (if that makes sense...I shouldn't try late-night analogies.) :-P
Anyway, I took the gist of Nick's speech to be that he doesn't know where you go when you die, and no one knows, but "scientists" are trying to figure it out. I suppose that, in a way, this suggests an absence of any religious thought, let alone specific religion, but then I thought "Wait--they celebrate Christmas!" Not only that, but in OotP, Sirius was singing "God rest ye Merrye Hippogriffs"...even with the humourous little change at the end, the lyrics would still go something like this:
"God rest ye merrye hippogriffs, let nothing ye dismay; remember Christ our Saviour was born on Christmas Day; to save us all from Satan's power when we had gone astray; oh, tidings of comfort and joy." So, as a Christian, I thought that was particularly interesting. We still don't know very much at all about death in the HP world; in fact, we may know less now than we first thought. I know quite a few HP fans who were turned off by this chapter, so much that they might not even read the next two books, but I can't wait to see how Rowling develops this subject.
(When Nick said that people in the Department of Mysteries were researching the issue of death and post-death, I immediately thought of the room with the veil. Anyone have alternate theories?)
I might very well post another comment about this, but this is all I can think of at the moment. :-)