Because people fear the unknown, because they need answers and the reality is too difficult to contemplate. Because humans need to feel loved, because we want to feel we are more important than other living creatures. The reasons are many. I have friends who believe in an afterlife simply because they can't bear the thought of never seeing lost loved ones again, or because this life has been so rubbish. Right now I wish I could believe, but I can't.
There are many different types of 'believer' so this is not easy but one way to look at it is how I think a believer would feel if somehow it was categorically proven that whatever the believe in isn't true:-
1) A loss of the belonging that is felt with whichever group believes the same thing.
2) Confusion and a feeling of instability regarding themselves, their lives, the world and the future once they realise some of the "big" questions actually cannot yet be answered.
However I think most believers would simply change their beliefs to something else that provides the above, this would prove that it's not the particulars of a belief system that is the driving force behind believing in the first place.
If there is a God why didn't he/she prevent the Tsunami that has killed almost one thousand people in Indonesia so far? No doubt there will be many more in decades to come killing thousands more.
I believe unbelievers believe what they believe because believing in what believers believe is unbelievable.
I believe my beliefs are believable based on beliefs from other unbelievers.
If you believe what you believe based on beliefs from other believers I believe you have this right to believe.
Wildwood - If you look deeply into scientific reality, you will find so many holes that cannot be explained.
Then there is the questions of morals, beauty, consciousness.
However, if you have a predetermined trust is what scientists tell you, then you are missing out on the bigger picture.
Theland. The (your) bigger picture has no holes in it because it doesn't actually exist. But the Faith of all believed religions has a dark doctrine. Even in the UK, it was not all that long ago that non believers were excuted.