Even on a series set in a funeral home, it's shocking when a lead character dies. Granted, it's the last season of HBO's Six Feet Under, but why Nate (Peter Krause)? ''His journey has been toward total acceptance of his mortality,'' says creator/executive producer Alan Ball. ''Ultimately, the final step in accepting one's mortality is dying.'' So why kill him off before the finale? ''The series began with a death but I didn't want to do it in the last episode. That felt cheesy.'' Plus, as Six Feet Under devotees know, dead almost never means gone.