One question that just about everybody is concerned about is what happens when we die? First Thessalonians chapter four tells us this in verses 13-18;

But we do not want you to be uninformed, brothers, about those who are asleep, that you may not grieve as others do who have no hope. For since we believe that Jesus died and rose again, even so, through Jesus, God will bring with him those who have fallen asleep. For this we declare to you by a word from the Lord, that we who are alive, who are left until the coming of the Lord, will not precede those who have fallen asleep. For the Lord himself will descend from heaven with a cry of command, with the voice of an archangel, and with the sound of the trumpet of God. And the dead in Christ will rise first. Then we who are alive, who are left, will be caught up together with them in the clouds to meet the Lord in the air, and so we will always be with the Lord. Therefore encourage one another with these words.
These verses describe the rapture, when all believers are called to heaven and receive their glorified bodies. The resurrection of non-believers is described in Revelation chapter twenty verse 13

And the sea gave up the dead who were in it, Death and Hades gave up the dead who were in them, and they were judged, each one of them, according to what they had done.
This happens after Christs thousand year reign on earth when all who havent accepted Him are judged. But what happens in between when we die and these events? Jesus gives us a look in Luke 16:19-26;

There was a rich man who was clothed in purple and fine linen and who feasted sumptuously every day. And at his gate was laid a poor man named Lazarus, covered with sores, who desired to be fed with what fell from the rich man's table. Moreover, even the dogs came and licked his sores. The poor man died and was carried by the angels to Abraham's side. The rich man also died and was buried, and in Hades, being in torment, he lifted up his eyes and saw Abraham far off and Lazarus at his side. And he called out, Father Abraham, have mercy on me, and send Lazarus to dip the end of his finger in water and cool my tongue, for I am in anguish in this flame. But Abraham said, Child, remember that you in your lifetime received your good things, and Lazarus in like manner bad things; but now he is comforted here, and you are in anguish. And besides all this, between us and you a great chasm has been fixed, in order that those who would pass from here to you may not be able, and none may cross from there to us.
In these verses Jesus gives us a glimpse of what happens after we die but before we are called to meet Jesus in the air. These verses show us the difference between what awaits a believer and a non believer, Lazarus was comforted while the rich man was in anguish. Note that Lazarus was at Abrahams side, this is because Jesus hadnt been sacrificed yet so it was through Gods promise to Abraham that people relied on to be with God. Because of this, the rich man was appealing to Abraham for relief.

But since we will not receive our new bodies until Jesus returns, what happens in the mean time? That is unclear, some believe that we experience a conscious disembodied state with Christ. Others believe that we are in an unconscious state until we receive our new bodies. I believe it is closer to the latter. One reason is that there is no sorrow in heaven. If we are conscious of what is going on and what is happening to loved ones, that could bring sorrow especially if they refuse to accept Christ. Also Jesus promised His disciples that His return would be soon. If we are not conscious of time, it will seem almost immediate after death. What I believe is that the references to death as sleep are literal, we will be in a peaceful dreamlike sleep with God. When Jesus friend Lazarus died, Jesus said in John 11 :11-14;
After saying these things, he said to them, Our friend Lazarus has fallen asleep, but I go to awaken him. The disciples said to him, Lord, if he has fallen asleep, he will recover. Now Jesus had spoken of his death, but they thought that he meant taking rest in sleep. Then Jesus told them plainly, Lazarus has died,
Also in Luke 8: 49-53 when Jesus went to heal Jairuss daughter, this is what happened;
While he was still speaking, someone from the ruler's house came and said, Your daughter is dead; do not trouble the Teacher any more. But Jesus on hearing this answered him, Do not fear; only believe, and she will be well. And when he came to the house, he allowed no one to enter with him, except Peter and John and James, and the father and mother of the child. And all were weeping and mourning for her, but he said, Do not weep, for she is not dead but sleeping. And they laughed at him, knowing that she was dead.
In both of these cases, one with a believer and the other with an innocent child, Jesus clearly distinguishes between death and sleep saying that they werent dead but sleeping. I believe that we will have a dreamlike consciousness of good things that happen to loved ones, but like a deep sleep we wont be conscious of time and it will seem like a short sleep until the Lord awakes us and gives us our glorified bodies to reign with Him forever.