Anybody know what happens to the followers of Mara when they die? Do they go to some sort of beautiful realm like the followers of Azura?

I guess they must go to Aetherius like most people:

http://www.imperial-library.info/content/pocket-guide-empire-third-edition-magic-aetherius

"... Aetherius is the home to the Aedra, those cornerstones of the Mundus whose aspects we see in the temple, in lordship, and the high walk of heroes."

I think this might be answered better in the lore section: http://www.gamesas.com/forum/16-elder-scrolls-lore/

Though, like what Bretton said, the Aestherius is the realm of the Aedra. Whereas Azura's realm is a plane of oblivion. Followers of daedra enter their Daedric lord's realm when they perish while followers of Aedra join them in their place of Aestherius.

And just a little cliffnote, Aestherius has a tendancy to recycle souls of the fallen into new mortals. So when you die, you are not in an afterlife, but are constantly reincarnated into the body of a new person.

But if you were reincarnated into a different body wouldn't that also mean you're not the same person personality wise either? If we're applying this to real life then we must be reincarnated from a previous being but have no memories of who we were back then.