Religion is a highly psychological affair. In fact, I would argue that the entirety of that which religion really is, to humanity, is psychological. Everything that religion is and does for its adherents is psychological in nature. One of the strongest dimensions of religion is its dealings with death. I have talked about this before with regard to Terror Management Theory.
What religion is very good at is offering something hopeful to its adherents, something which looks suspiciously like an overwhelming bribe (or at least emotional blackmail): eternal life. As Hood, Hill and Spilka say in their book Psychology of Religion: An Empirical Approach:
We lament those who die, and dread the fact that we too, in time, will confront the end of our own existence. Many of us, however, refuse to come to terms with death. We repress, deny, shun, and withdraw where possible from reminders of death, and above all, we fight to delay death. If there is a basic purpose to medicine, it is to reduce mortality and increase longevity. And finally when we die, the customary North American way of death includes embalming, which Aries interprets as a “refusal to accept death.” In other words, we wish to keep our bodies unchanged. Furthermore, our faiths inform us that we do not simply die; we move to another realm—heaven, hell, limbo, purgatory, or life with God. Finally, there is resurrection: We return to everlasting life. In sum, we never die; our destiny is immortality. Religion guarantees it.
This idea that we are aware of our own mortality and that it is at the heart of psychological biases which push us towards belief in a worldview which supports the denial of our mortality is known as mortality salience. As Hood et al continue:
Theologian Paul Tillich championed such an inference [that our destiny is immortal] by claiming that “the anxiety of fate and death is the most basic, most universal, and inescapable.” Reasoning further, the noted anthropologist Bronislaw Malinowski maintained that “Death, which of all human events is the most upsetting and disorganizing to man’s calculations, is perhaps the main source of religious belief.” In one study of clergy, only 2% felt that concern about death was not a factor in religious activity. 
When people threaten a theist’s worldview with evidence that acts against it (think evolution to the Creationist, for example), that evidence isn’t just evidence against the theistic belief per se, but a challenge to eternal life. This is partly why atheist positions are challenged so harshly by theists, and why they are so hard to shift from their own positions. To entertain “atheistic” evidence and atheism is to give up on eternal life and surrender to death as a total end.
Religion has historically been our culture’s dominant means of coping with the inevitability of our own demise. Religion makes death meaningful. Death is a mystery that we must unravel. It belies meaning and demands explanation. We have questions and religion offers us the desired answers. Taken at face value, death implies a simple, final termination. Understandably, we do not easily accept the prospect of ultimate extinction; it is not just that we want to live on indefinitely, but that we desire certainty that this will occur. Religion provides assurance that this will occur. … Institutionalized faith, as we have seen, plays many roles in life, but the issue of death lies at its core.
In other words, arguing for atheism is far from a rational pastime dependent on both evidence and logic; it is a wholly psychological affair which cannot hope to offer something as gloriously persuasive (and deluded) as an eternal life.
Ralph Hood, Jr., Peter Hill, and Bernard Spilka. The Psychology of Religion: An Empirical Approach, fourth edition
 Here, Hood, Hill, and Spilka cite Aries, P. Western Attitudes Toward Death from the Middle Ages to the Present, Baltimore: Johns Hopkins University Press, 1974, quote from p. 99.
 Hood, Hill, and Spilka, p. 184.
 Here, Hood, Hill, and Spilka cite Tillich, P., The Courage to Be, New Haven, CT: Yale University Press, 1952, quote from p. 40.
 Here, Hood, Hill, and Spilka cite Malinowski, B., “The Role of Magic and Religion,” in W.A. Lessa and E.Z. Vogt (Eds.), A Reader in Contemporary Religion, pp. 63–72, (New York: Harper & Row), 1965, quote from p. 71.
 Here, Hood, Hill, and Spilka cite Spilka, B., Spangler, J.D., Rea, M.P., and Nelson, C.B., “Religion and Death: The Clerical Perspective.” Journal of Religion and Health, 20, pp. 299–306, 1981.
 Hood, Hill, and Spilka, p. 184.