Actually, more appropriately,
"Hey do you believe in past lives, aliens or CIA mind control?"
"yes!"
"Do get the feeling that you owe someone money?"
"yes!"
"Yeah, you owe me some money"

There's an interesting article in the March issue of Consciousness and Cognition about the link between false memories and the totally out there belief of reincarnation.

Here's the basic design and results of the study from Live Science/MSNBC

Subjects were asked to read aloud a list of 40 non-famous names, and then, after a two-hour wait, told that they were going to see a list consisting of three types of names: non-famous names they had already seen (from the earlier list), famous names, and names of non-famous people that they had not previously seen. Their task was to identify which names were famous.

The researchers found that, compared to control subjects who dismissed the idea of reincarnation, past-life believers were almost twice as likely to misidentify names. In particular, their tendency was to wrongly identify as famous the non-famous names they had seen in the first task. This kind of error, called a source-monitoring error, indicates that a person has difficulty recognizing where a memory came from.

I'm assuming that people who believe they have had past lives have memories which can't be attributed to any source. The mind in turn tries to make sense of the memory - and not surprisingly when confusion arises in the brain it just makes up a bunch of stuff in order to assign the memory to some source or other - in this case a past life. Gotta love heuristics! Other options of course include Alien Abduction, God or the CIA.

I'm not so sure I buy this following statement though: "We suspect that this might be kind of a psychological buffering mechanism against the fear of death." I doubt the fear of death causes the source memory errors- it just lets the brain know what wacky source to give to the errors.