I love this series, it's really original and the gameplay kicks behinds.
Getting into spoiler territory, here.
And I could see Cole tricking death, at the end of the second game. I wouldn't need a great excuse, either, let me remind you that this is a game where a guy was able to recompose himself, atom by atom, Dr. Manhattan style, so anything goes. My best guess would be that, during a thunder-storm, Cole's grave is hit by lightning, reviving his dead corpse.
I'd love to see that game. Cole the Dead vs. Ray Sphere Abuser #3
EDIT: Also, the only thing I found worse than the first game, in the sequel was the vilain. Kessler was much better than both Bertrand and the Beast (Although the Beast had a very menacing feeling to it)