The timing of Lay's death is what makes it so suspicious. It's not just that he died before serving any time. He died before the appeals process was completed and before being sentenced. Therefore, his convictions could be erased, severely complicating efforts to seize his assets. As the New York Times reports: In other words, Lay picked the perfect time to die. Of course, this doesn't mean he faked his death. It just makes his death seem awfully convenient for him (if he's still alive) and his family. (There's also a theory that he was murdered... or perhaps he could have committed suicide by using drugs to induce heart failure. I believe there are drugs capable of doing this.)
Lay isn't the first multi-millionaire to be suspected of faking his death. In 1932 billionaire Swedish businessman (and mega-swindler) Ivar Kreuger apparently committed suicide by shooting himself. But a rumor soon spread that he had actually faked his death and fled to Indonesia. Supposedly Kreuger's tobacconist later received from Sumatra a large order for custom-made Havana cigars. The tobacconist said that Kreuger was the only person who would have known how to place that order.
There's also the case of Michael de Guzman, geologist for Bre-X, and perpetrator of one of the greatest mining frauds in history. In March 1997 de Guzman supposedly committed suicide by jumping from a helicopter into the Indonesian jungle. But his corpse could never be positively identified, and last year one of his widows claimed that he had recently sent her money. So he might very well still be alive. Perhaps he's hiding out somewhere in an Indonesian resort with Ken Lay.
Oh, and this photo of Ken Lay's tombstone that's doing the rounds is obviously fake (1964-2006??? That would have made him 42). Last year the same picture was used to represent Johnnie Cochran's tombstone.