Reading through all the comments here I realise that what baffles you is why sensible people choose to have religious beliefs. I think the answer lies in the existential givens. Existentialism tells us that the following things terrify people:

* Death,
* Uncertainty (about what to do or what happens),
* Realising they are free to choose
* Realising that life is meaningless and the only meaning there is is that which we create which could just as well be otherwise.

I don't find religious belief baffling at all. It takes away all of these (as do many other things that we choose to believe in)