The meaning of this classic Blue Öyster Cult song (incidentally also the theme song to the TV adaption of Stephen King's The Stand) has been much debated. Is it really about two people committing suicide together? The band says no: it's just a song about not fearing death, and Buck Dharma is supposed to have written the lyrics in a phase of his life where he thought he was dying, and it was just his way to cope with the situation.
My personal take is that this song is a charmingly pop-cultural variation on the old theme of Death and the Maiden, which is about Death telling the Maiden not to fear him... "you shall sleep peacefully in my arms". This way it makes a lot of sense to me.
HIM probably had a similar idea when they interpreted their version of this song, which is a male/female duet. Alas, it's pretty much that version's only virtue, as it drags on with what seems like half the tempo of the original and the "la la la" choruses sound incredibly stupid that way.
The number 40,000 mentioned in the song is not the number of people committing suicide or dying every day, as has been claimed. All around the globe, some 140,000 people die each day. The number 40,000 thus can't be the number of daily deaths or daily suicides, since this would mean that nearly every third man or woman commits suicide, which is clearly not the case.
By the way, there's a cover version of "(Don't Fear) The Reaper" by Apollo 440 that sounds pretty cool. It's one of the few pieces of electronica I like. Don't ask me about the exact denomination of the subgenre, though.