well.. of course.
the opening shot is of a dying man
sally's friend joking about her mother being dead
bobbys comment that the violin case looks like a coffin
Rogers mother dying/funeral
Don talking to the man asking him what it was like when he died
Don's ad campaign reminding others of suicide
All the talk of the first heart transplant.
Doctor having someones life in his hands
More to the point, it ties into one of the common main themes of the series which is the death of the old way of doing things. Roger is now at the point in his life where he's just "losing one thing after another" (I am paraphrasing but I think he said something to that effect). Don is talking to his creative department about anything to do with matrimony in advertising is paleolithic. The pre-occupation of death as you call it is important because the old guard is having an identity crisis. They are in their final death rattles for a day gone by. I don't think it's a coincidence that we had all the talk of the heart transplant stuff and the guy dying but coming back to life. And it's obviously appropriate we are at new years eve at season start which is obviously about turning over a new leaf and moving forward, and in large part leaving the past behind you. Don at the end of the episode says he wants to make a change and quit doing what he's doing (but we've heard all that before). So we'll see how that plays out. Anyway I am saying a lot of obvious boilerplate stuff but yeah.
