I went through a period of that when I was about four or five--existential concerns, nightmares--especially after I started Sunday School. My parents checked out books for me dealing with death and the meaning of life (religious and nonreligious), and the nightmares gradually stopped (still interested in the meaning of life, though). If you're religious, perhaps an adult Bible class could be useful (especially if his questions come up in 5-y-o Sunday School!)...