The first story I can think of is the story of Christ's death. In most other religions the man/being that is being worshipped died at one point (obviously lol) Some were resurrected, some stayed dead and people continued worshipping them. Although out of all of them, Jesus was the only one whose body has never been located.
As to which I think came first and why, I'd have to say it depends on the religion you compare Christianity to. Christianity is about 2000+ years old, but when compared to Hinduism it's a meer child. (Hinduism was the first recorded religion to my knowledge)