Salmoxis the Man
Salmoxis was a Thracian slave of the noted Greek philosopher/mathematician Pythagoras1. The records about him are scattered, incomplete, and sometimes inconsistent. The primary historian from whom we learn of him is Herodotos, whom we also have to thank for most of our understanding of Greek history.
One of Pythagoras' beliefs was that of the eternal soul. His reasoning went somewhat along the lines of: all is number, number is eternal, soul is number, soul is eternal.
According to Herodotos, as well as being his slave, Salmoxis was also somewhat of a disciple of Pythagoras. While living in Greece, he picked up Greek ideas and rhetoric, especially the belief in the eternal soul.
Salmoxis eventually was freed and became a wealthy man. He returned to Thrace and preached his own brand of Pythagoreanism, which heavily emphasised the eternal soul, extending it to become literal immortality. He gained a large following among the Thracians, also known as the Getae, who were not used to philosophical argument of the intensity which Salmoxis had learned in Greece. He even went to the extreme of having himself buried alive for three years in a false tomb (he had built up an adequate supply of food there) to prove that the soul is eternal. When Salmoxis came out of his tomb in the fourth year, he was hailed as a god.
Salmoxis the God
In later years, Salmoxis was known as the principal, and according to some accounts, only god of the Getae. The monotheistic Salmoxis religion was much along the lines of later Mithraist and Christian traditions: the deity controlled all aspects of the natural world, and could give eternal life to those who believed.
Herodotos claims that the Getae worshipped Salmoxis with a human sacrifice every five years and by shooting arrows into the sky during storms.
Herodotos' story could very well be a Greek attempt to snub 'inferior' Thracian culture, but there is (somewhat, anyway) independent verification of a slave of Pythagoras named Salmoxis. Whether the god and the man were the same, we'll never really know.