Hume specialist Peter Millican is the interviewee for the latest episode of Philosophy Bites on the topic of David Hume's Significance. In the course of the interview Peter explains why he believes that Hume died an atheist...
For textual evidence of Hume's Atheism, see this post (added April 27th)
Peter Millican has also provided a very detailed linked bibliography on David Hume:
Peter Millican's Bibliography on Hume