The book describes the characters' hearts as leaping and them having "wild hope" when Aslan starts telling them that they're dead, so I've always assumed they were good with it. I've read some people take great offense at this. I guess they feel it's insensitive to those left behind to portray the dead being happy without them. Or maybe they fear it encourages suicide. Frankly, I can't relate to this at all. We know everyone's going to die someday. Why not imagine them happy? 

When I first read the ending to The Last Battle, I disliked the conclusion for other reasons. Ending a story with the characters dying and going on to a happy afterlife felt like a cheap copout to me, like the author wanted a happy ending but couldn't find any other way to do that. But the more times I've read the book, the more dramatic sense it makes to me. The earthly story of The Last Battle is so downbeat that only Heaven could counterbalance it, and it's not like there wasn't plenty of foreshadowing in earlier books, mainly The Voyage of the Dawn Treader and The Silver Chair. 

(I've had a similar love-hate relationship to some of the equivalent endings of Hans Christian Andersen.) 

I've always loved the ending of The Last Battle and thought it was beautiful and totally fitting, right from when I first read it at the age of 7 — maybe that puts me in the minority of Narnia fans, I don't know!  And I wasn't raised with any particular religious faith, either in my family or in the wider community in general, so I didn't have any really strong preconceived ideas of "what happens when you die" or "what heaven is like (if it exists)". But Lewis's whole concept of heaven just came across to me as so RIGHT somehow — that it's the place where we find the real "original" of everything that is good and beautiful in the mortal world, and everything that we love (or that is worthy of love) here is just a shadow of "the real thing" in Aslan's country, where everything is good and eternal and wonderful and can never be destroyed. As a young adult I became a Christian of a different denomination from Lewis, and I don't always agree with him theologically, though I can always appreciate and respect where he's coming from. But I still reckon his idea of heaven is pretty much spot on!  

What I'm getting at here is that Lewis doesn't suddenly spring the "you are dead" ending on us. He builds it up bit by bit over several chapters as the Narnians and the Friends of Narnia gradually discover this new world — where "everything is allowed" (implicitly because there's nothing evil or harmful there), where the fruit is so delicious and perfect that the best fruits in our world would be bad by comparison, where they no longer seem to have any age or any aches and pains, and where they witness Aslan holding what is clearly a Last Judgment as the world outside the stable door comes to an end — and they're joined by "all those they had thought dead". Then there's the even more momentous discovery that this new land they're in IS Narnia — the true Narnia, "more real and more beautiful" than the old, mortal, "shadow" Narnia that they saw destroyed — and the wild dash to follow Aslan "further up and further in", to the garden where they're reunited with all the people and creatures we've loved from all the previous stories over all the centuries of Narnian history... Basically, by the time we get to Aslan's final speech, Lewis really has already made it bore obvious that they all must have, quite literally, died and gone to heaven.

I know I wasn't the least bit surprised or shocked when I got to that part on my first-ever reading as a child. Lewis just makes it so clear that what we call death is not the end and is not to be feared; what all the characters have been through already in Aslan's country is so amazing and exhilarating that it's no wonder a "wild hope" rises in them as Aslan starts to assure them there's no fear of being sent back to their own world. It's clearly not a shock for them to be told they did die in a railway accident, since here they are, more alive and more joyous than they ever could have been in the old world, and with the promise of nothing but greater and greater joy and goodness ahead of them forever. I'm pretty sure that if they were ever afraid of dying before, their only thought now as they hear Aslan's words would probably be "Oh, is that all death was?" — before going on into Chapter One of the Great Story...

As Col Klink mentions, there is definitely plenty of foreshadowing of this in the earlier books, particularly the endings of Dawn Treader and The Silver Chair — respectively, where Aslan almost reveals who he is in our world and promises he will show them the way into his own country from there, and where Jill and Eustace see Caspian raised from the dead and are assured by Aslan: "When you meet me here again, you will have come to stay." It IS an unusual and daring ending for a children's book, and as I was saying recently in another discussion, I get the impression Lewis didn't initially intend to conclude the series that way. But I would guess that as he went on writing, he eventually decided it was right for him to portray heaven and the afterlife (at least as he envisioned it) more fully, and this was the way he did it.