To the OP, speaking personally, I have an insatiable curiosity. That 3-year-old’s drive to ask “why is the sky blue?” has never really left me. (Hey, that’s why I’m here in the Straight Dope!)
As I learned more, the curiosity simply grew. I read more, I learned to look things up, and yes, like any good tinkerer, I took things apart to see what was inside.
But early on, I kept running into stuff that didn’t make sense. “Pyramid” power. Astrology. Dowsing. Fortune telling.
In an effort to understand, I researched, I looked things up, I asked people. (Okay, I asked Dad. 
)
My father is a doctor, so we had a decent “library” of encyclopaedia, chemistry and human physiology texts, and books literally ranging from Astronomy to Zoology. When I had a question, he said, invaribly, “look it up.”
Take pyramid power. I read an article, I think it was a flyer in a newspaper advertising a clear pyramid that was supposed to do all sorts of interesting stuff, from keeping fruit fresh longer to… imparting good luck to bracelet charms? Recharging crystals?
So I looked it up. I asked around. How did it keep fruit fresh? How was it supposed to “recharge” a crystal? (By that time I knew how electricity and batteries worked, and had a vague idea how you stuffed energy back into a battery.) Where did that energy come from, how did the crystal “hold” it, and, for that matter, how did it get “used up” in the first place? What kind of energy was it?
I distinctly remember looking in, among other things, an astronomical text showing the different forms of energy the Sun gives off (radio, light, heat/infrared, charged particles, etc) looking for this mysterious power called “karma”.
(Hey, we didn’t have the Internet and video games back then. I had books and two channels of TV. Had to do something.)
How did the Pyramid impart Good Luck to a charm? Where did this Good Luck come from? What was the collecting mechanism? How did you know that it worked? How could you tell when it was “full”?
By the time I reached middle school, it was well established that I was wasting my time with these sorts of pursuits. But the more I read, the more nonsense I ran across. Not having been raised in a religious family- for which I am eternally grateful- I wasn’t exposed to concentrated religion until I could think for myself.
And yes, I ‘researched’ it too. Where is God? Where did he come from? Is he the one that gathered all the swirling gas and dust that turned into the Earth? Why do some people say the Earth is 6,000 years old, but others say it’s millions and millions? Where did the fossils come from? Why are we supposed to pray? If he’s everywhere, all the time, why go to Church and pray only on Sunday mornings? Who wrote the Bible? Why don’t these two Bibles have the same text? Why are there different denominations? Why don’t those denominations agree? Why did some Churches go to war to force other people to believe the way they believed? If the Egyptians believed in a great many Gods over a thousand years before The One God was popularized, why is the “new” version supposed to be the “right” one?
At that age and temperment, I tended to lean far more towards the side that could provide answers- or at least plausible theorem backed by other data- and away from the one that said “You simply must have faith, my son.”
About that time- seventh grade or so, keep in mind I wasn’t asking these questions in so “organized” a manner - my mother happened to sign me up for a magic class over the summer, probably to get me out of her hair for a little while. The instructor was a grizzled old guy, who could work absolute wonders with cards, small foam balls, bits of rope and coins. It turns out this guy was an old-time fifties’ “Carny”. As in the old traveling carnivals that had chicken-biting Geeks, crooked games, real “freaks”, and, in the “back”, out of sight, prostitution and gambling, illegal liquor, you name it.
As he was showing us how a certain trick worked, he’d regale us in the class with stories from the carny days. How they were chased out of this town, how the mayor of that town was caught by a local reporter, with one of the carny’s midget prostitutes… you know, the gritty stuff.
But mainly, he told us stories of how the games were fixed, how the fortune tellers worked their trade, how the weight guessers and stage-magic was done, and how he would, when the “front” was slow, he’d go in “back” and get a card game going to fleece some local rubes. About here he’d shuffle the cards three times, and deal two hands. His would have anything- a royal flush, four of a kind, an inside straight. The other would have one face card and two of a kind. He’d shuffle the cards again and deal two more hands: One was ace-through-five, the other was six through ten, just to show what he could do.
That was one of the definite points I can remember in my early life where a lot of little pieces fell into place, and suddenly the mosaic was a little more clear. The gist of it was, ‘hey, some people aren’t entirely honest, and further, there’s usually some underlying reason for that dishonesty’.
And that led me to start asking the exact opposite of Hastur’s question: Why do people believe in this stuff? What does it gain them? What does it do for them?
In some cases, it’s easy- Both Sylvia Browne and Uri Geller are in it partially for the ego boost, and mainly for the money. Miss Cleo’s in it for the hard cash too, else she’d have a toll-free number and maybe work from donations and grants. Let me repeat that in case I wasn’t clear- Uri, Sylvia and Cleo are frauds. (*Hey Sylvia! If your powers couldn’t forsee something as momentous as Black Tuesday, maybe you ought to rethink your abilities as a “psychic”, don’cha think? You can see a callers’ illness well enough to recommend a particular drug, but can’t see four plane crashes and thousands of deaths… so what good are you? *Just had to get that off my chest. I feel much better now.)
As far as religion is concerned, well, it’s my opinion- and just an opinion, before I’m flamed for being some pitiable nonbeliever- that the cliche` is predominantly true; It’s become a crutch for those afraid to think for themselves. Solace for those unable to handle the possibility that life was an accident, and their existence is, in the Great Scheme Of Things, meaningless.
That’s my story. In direct answer to the OP, it’s because as I learned, I kept winding up wasting a great deal of time and effort on wholly fruitless pursuits, as for the mythic “karma”, or to figure out how dowsing worked. (Did you know the surplus-tool catalog Harbor Freight sells a dowsing rod they call a “pipe locator”? It’s a telescoping radio type antenna on a pivot with a handle, sells for $10.)
I don’t pretend to be right all the time, but I have seen too many people spend money on “psychic” calls and tarot readings, buying “healing crystals”, planning their lives around astrology charts, and other nonsense, to just sit idly by. Doesn’t hurt anything to “believe”? Similar to the “pipe locator” I mentioned above, there’s a firm that sells a device that’s supposed to locate people by the electrical “aura” of the human heart. Several police departments have been suckered by the perp of this device, to the tune of, in some cases, over $2,000 per. They do not work. The same device is sold in Treasure Hunter Magazine, and makes wild claims on performance.
And they get away with it because people WANT to believe.