Good topic. My feeling is we believe in somethings as a defense mechanism because we can't accept a void. Doesn't make what we believe any less real or unreal. For example, among those who believe in the "God Delusion", some believe strongly in hell and heaven - aka life goes on in this perfect fairy land or that we are all sinners in the hand of an angry god who's holding us over a pit of fire. Others yet believe that we are reincarnated according to our actions and the resiude on our soul. Why do people believe these different things? I feel they believe the best possible "story" that will allow them to be satisfied with an answer to all the un-answerables and let them be in the present - maybe even HELP them in the present "I'll do good things because I want to go to heaven". And doing good things is good and people are happy and world's a better place, so why NOT believe in that? Another difference that's been touched upon here, some believe in a all merciful god who does no wrong and that all evil comes from human beings, and yet the same folks claim that everything is god's doing and we are being controlled by god. How does that explain all the bad things in the world? The children being born with bone cancer? Surely no god who's not a sick freak would do something like that, would they? Why would god send Tsunamis and earthquakes to hurt innocent people, just for fun? These are unanswerable questions. So we believe in god - or even the lack of god - to explain these things to satisfy ourselves.
I am sure if someone had come up with another kind of story in the beginning of time to convince and satisfy the minds of humans, that would have been the dominant view on all the un-answerables. We only believe in god because we can't just ignore the un-answerable questions, because we seek to understand more and when we try to understand more and we can't understand, we need some explanation, some hypothesis, of what the solution is. There's people who are perfectly happy who do not believe in god and there's people who are perfectly happy who believe in god. And just so, there's people who are perfectly miserable or evil in both categories. So it begs the question, does it MATTER if one believes in god? If it doesn't then clearly either this god doesn't care, or, more likely, we are making this whole thing up and it does not matter one bit and we do it for the same reasons we do somethings like.. like skydiving or LSD.