The simple, obvious answer that hasn't been proposed yet (I believe) is that without death there can no evolution, no change and no progress. Forests burn to make place for new life that rises from its ashes, predators keep grazing herbivore populations in check and senescence prevents overpopulation in all things. Stars are born and die, mountains rise and fall, and life inevitably ends in death from which new things are born. 

It also probably has something to do with entropy and that a system in which all life is infinite would be unsustainable, but I digress.