I don't believe in a soul, to start off with. Now, what drives me mad is how is it that a load of electrical signals in a wrinkly grey ball can create a consciousness? We know it's there (excluding any "I know therefore I am" stuff), it's a measurable thing. How does a load of adaptive electrical signals form it, though?
It's meant to drive you mad. Consciousness is great value for woo peddlers and armchair intellectuals alike; it lets them pretend the neurologists know as little as they do because "science can't explain" it, and therefore they can keep trading on that wonder and selling you crystal healing and long diatribes about how interesting everything is (and, more importantly, how smart they are for seeing it) as long as they can keep redefining it away from our actual understanding of the brain.
The truth is that consciousness is simply a set of interconnected structural, chemical, and electrical feedback loops, in roughly that order of mutability; if you think of the chemical signals as memory for the electrical signals and structural changes as memory for the chemicals you'll be in roughly the right ballpark. That's all there is to the great mystery of the brain. There's no point at which a set of neurons "wakes up and becomes a mind", just a multi-dimensional continuum of complexity and degrees of mutability. Nor is there anything lost at death other than the conditions required for those feedback loops to perpetuate. It's informatically complex, sure, but it's not mystical.
EDIT: As an analogy, you could just as easily ask how a bunch of transistors create a computer. They don't, but they do process information, and enough of them together with memory and other bits can process information in ways complex enough to allow for what we readily recognize as computation.