I thought a big reason of why people believe is a cultural one. Getting one's own values (some of them at least) is hard and requires a lot of thinking, yet on the other hand, there you have, a recipe with some that a lot of people around you accept, which will make them accept you too if you embrace them as if it were your own. But deviate, and you are a heretic, a strange person, etc and risk getting alienated. That is my experience growing up in such a religious country as Spain, with almost everyone I know (even youngsters) being convinced catholics.
Also, the church has managed to make themselves attractive like with the "Three Kings", where people go to church and receive gifts (that someone has paid the church to store and make a play out of), gives children a good image of what the church is meant to be. Even non-believers will do it and have their kids receive gifts from "Magi"... Religious festivities are also days off school (and some even off work!), which is yet another link, etc.
Also, parents, family, teachers are such a big influence. What we are taught in our childhood stays for us for very long time, until we learn to dispute it (if we do, some people prefer to take it as obvious). Of those people I know that are not devout christians, most of their parents and families were already sceptical or even downright refused to believe (even if for the wrong reasons, eg simply because it was the official religion in a regime they hated).
In some other countries, this may be much more diluted, but in Spain it can be clearly seen every time there is something on. Religious groups lobby for this (no abortion, "defense" of the (traditional) family, etc). When someone from the clergy goes on TV (bishop, archbishop, the mother of one, their bastard child, etc), people listen. The people in charge believe, and even though on paper it's a state with no official religion, some do get a pretty big chunk of the money around, which enables them to maintain their buildings and their part in keeping a nation in darkness.
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