This is a rather interesting study.
I notice that the authors themselves were extremely reluctant to speculate even slightly on the nature of the link -- preferring the good old standby 'Further research is needed' which can mean anything from "we have no idea what this means" to "we wouldn't touch this argument with a barge pole". I suspect that it's the latter in this case. Thanks to the internet, of course, we have no shortage of editorializing from both sides of the science vs. the jesus debate. It's going to be difficult for either side to get much mileage out of this one though, seeing as you can turn the conclusion upside down and it still makes sense, if you see what I mean. The same result can be read either as "religious folk fight harder, and love life -- heathens just give up because they're weak and feeble without jesus power" or as "Godless folk do not fear death, and go out calmly -- whilst religious people's certainty in the shiny hereafter falls down in the face of the big sleep".
Most of the reports in the American media seem to be favoring the former. See Most Devout Most Likely to Fight Death to the End, Religious Likely to Prolong Life, Study Finds and the church-newsletter stylings of Patients with Terminal Cancer Turning to Religion.