Once you believe in some sort of being in the sky that's affecting your life (or death), you then open up the possibility to believe in anything. And that's in fact perfectly reasonable - if magic can rule in one sphere, why can't it rule in any other? Why can't rational thought be banished when it doesn't fit the evidence in the physical world?

I read a paper relatively recently that postulated a causal relationship between religous belief and mental instability - the constant tension between the rational and the irrational. IMO it's a reasonable thesis.