It would be cool. You might look into sleep yoga,as the basic intent of its practice is to prepare you to use lucidity straight through the death process and into the afterlife. You also might want to check out the Tibetan Book of the Dead, because it offers preparation for the same sort of lucid afterlife.

Byond the religious stuff, even if you are agnostic about things, developing your lucid skills to a point where you can remain fully aware throughout the death process might just give you a front row seat to the afterlife, should there be one!

This in my opinion is an excellent reason to refine your LD'ing skills, BTW...