There's a theory that human beings have a sort of genetic "god plug" wired into our brains; that we have some inherent aptitude for belief in the supernatural in spite of evidence to the contrary.
Why would such a thing exist? It could be an adaptation to facilitate socialization, especially as group size increases. In a small tribe, if someone tries to force you to perform a task or behave in a way you don't like, it's pretty tempting (for early humans) to bash the other's brains in. That's not conducive to societal development. If you must perform a task because the River God Zerkes demands it, well, you can't exactly go bash in a god's head, can you? In other words, it creates a construct where authority becomes irresistible -- people must fall in line and thus a simple society can avoid (for a while) decay into anarchy.