The Brothers Lionheart is a film I saw as a child that stuck with me because the two kid main characters die almost immediately and their afterlife is full of danger and struggle as well, and the film ends with them deciding to kill themselves again to get into yet another afterlife!
The film starts by introducing the main character, a terminally ill boy who lives with his older brother. He's scared to die and his brother comforts him by telling him about the land you go to when you die, a magical valley full of adventure. An immediate gut-wrenching twist is that the older brother dies first, saving his brother from a burning building by jumping out a window and dying from the fall. Then the younger brother dies shortly afterward and the rest of the movie takes place in the afterlife.Â
The afterlife seems all fun and medieval at first and the brothers are re-united, but soon you find out that there are two valleys in this land, and the other has been conquered by an evil army of black-cloaked and helmeted soldiers backed by a dragon and they have to fight to make sure their valley isn't next. The rest of the movie is about the fight to overthrow the oppressive villains. At the end of the movie, they've defeated the bad guys and the dragon, but the older brother has been burned by dragon fire and is going to become paralyzed. He wants to die, and so the younger brother agrees to carry him to a cliff and jump to their deaths so they can get to the next magical afterlife, which will be peaceful. And after they do that, the movie just ends with a shot of their shared tombstone.