I've recently been asking myself why people believe - here are some thoughts. I would appreciate comments and suggestions.

There are many reasons why people ‘have faith’, and these can generally be traced back to some sort of weakness or insecurity. Much faith, for instance, derives from the undeniably appealing idea that there is ‘something more’, contextualising real life (however uncertain or disagreeable it might be) within a greater, more ‘comfortable’ construct; this allows people to dismiss reality in favour of an imagined ‘better world’, whether specifically the afterlife or a world governed by a benign deity more generally.
There is of course also considerable vanity in the idea that we are the creations of a perfect being (and created in his image, no less); no matter how masochistic the specific details of a religion, its view of humanity is fundamentally narcissistic. Related to both of these points is the transmission of responsibility for ones ‘fate’ onto a largely abstract other: if I assume that I was created by a deity, and my moral responsibility is defined by that deity, I am effectively ceding responsibility for my existence and what I make of it. Engaging with the implications of ‘man’ as a natural phenomenon is considerably more complicated and potentially problematic than simply ‘blaming’ everything on a more powerful and intelligent creature. The latter distinction is highly significant, acknowledging the very ‘human weakness’ that causes us to deny responsibility in the first place – we are weak and erring humans, we argue, but God is somehow responsible for us, allowing us to dismiss the implications we would otherwise have to come to terms with.
As noted by Bertrand Russell, ‘terror of the unknown’ is also a significant factor in religious beliefs, reflecting one of the principal reasons humans invent religions in the first place (see http://atheistprinciples.tripod.com/discussions.htm#_The_Invention_of). This is not, however, limited to unknowns such as the origin of the universe and what happens after death, but the many complex, unknown and perhaps unknowable workings of nature that become probable in the absence of religion’s convenient answers. There is thus a fear that things might not be simple and transparent, although there is also sometimes also a fear of simple logic, a prime example being the resistance to accepting that there is no afterlife.

Social factors, whether conditioning or a ‘sense of community’, also hold considerable appeal, but are less fundamental in fostering a sense of fervent belief (which is not strictly necessary to enjoy the social benefits of religion) than direct psychological factors.