If I have Athreos, God of Passage on the field and a creature token dies, does Athreos' effect trigger and they automatically lose three health because I can't return a token to my hand, or does it not because its a "creature token" that dies and not a "creature"?
Neither of these scenarios happen. What does happen is called out in a ruling on Athreos:
4/26/2014: Athreos’s last ability will trigger if a token creature you own dies. The target opponent has the option to pay 3 life, although the token can’t return to your hand.
The ability triggers as normal, since a creature died, even if it's a token. Your opponent is still given the choice to pay 3 life or pay nothing — no choice is made "automatically".
However, tokens cease to exist after they leave the battlefield. Even if your opponent declines to pay 3 life, the token won't ever enter your hand - it's already gone to the graveyard and will cease to exist there. So the result is the same either way: the token disappears. Naturally, your opponent is likely to just not pay the cost.
It is a creature, so Athreos's ability does trigger, but the token ceases to exist before the ability resolves, so the token cannot be returned to your hand.
A creature is a card or token on the battlefield which has the type "creature". Also, a creature token on the battlefield does die (get moved to the graveyard) when it's destroyed just like creature cards on the battlefield. As such, Athreos, God of Passage's ability does trigger.
But before Athreos's ability resolves — in fact before it's placed on the stack and anyone can respond to it — stated-based actions have caused it to cease to exist.
(Even if it didn't cease to exist, it still wouldn't go to your hand since a token that's left the battlefield cannot be moved to another zone.)
None of that stops Athreos's ability from being placed on the stack and from resolving. The targeted opponent could still choose to pay the cost, but there's no incentive for him to do so. Because the token no longer exists, it cannot be returned to your hand.
110.5f A token that’s phased out, or that’s in a zone other than the battlefield, ceases to exist. This is a state-based action; see rule 704. (Note that if a token changes zones, applicable triggered abilities will trigger before the token ceases to exist.)
110.5g A token that has left the battlefield can’t move to another zone or come back onto the battlefield. If such a token would change zones, it remains in its current zone instead. It ceases to exist the next time state-based actions are checked; see rule 704.