Now, about this phrase "in Christ." God must consider it to be very important because those exact words (or ones very similar) are found in the new testament over 170 times.
The transition of being "out of Christ" (in the dark, lost, dead) to being "in Christ" (in the light, saved, alive) can really be a stretch of our understanding. To get us started thinking in terms that we can comprehend, God gave us water baptism. It can be thought of as a marvelous one-act play demonstrating how a new believer becomes that new creation described earlier. When you get time later, take a look at the section about baptism and read more about its significance in Christianity. In the meantime, this passage from Romans chapter 6 describes what happens when we become a new creation in Christ.
Or don't you know that all of us who were baptized into Christ Jesus were baptized into his death? We were therefore buried with him through baptism into death in order that, just as Christ was raised from the dead through the glory of the Father, we too may live a new life. If we have been united with him like this in his death, we will certainly also be united with him in his resurrection. For we know that our old self was crucified with him so that the body of sin might be done away with, that we should no longer be slaves to sin-- because anyone who has died has been freed from sin. Now if we died with Christ, we believe that we will also live with him. For we know that since Christ was raised from the dead, he cannot die again; death no longer has mastery over him. The death he died, he died to sin once for all; but the life he lives, he lives to God. In the same way, count yourselves dead to sin but alive to God in Christ Jesus. (Romans 6:3-11)
"Baptized into" means "joined with." When you were joined with Christ Jesus you joined Him in His crucifixion, His death, and His resurrection. The message here is that you took on His identity. It's not a coincidence that the same practice has been a part of marriage from the earliest times. The wife is expected to take on the identity of her husband; she shares everything he is and everything that he possesses --at least that's the way marriages were intended to be. And that's the way it is with Christ and His bride --the church.
In summary: Because your identity is "in Christ" ...
You have joined Him in His death, burial, and resurrection
Your old identity is gone and your new identity is eternal
You have been given the righteousness of God.
Next: From Death to Life