Social-Psychological
The primary social-psychological reason why religion continues to exist is because it answers existential questions that are difficult, if not impossible, to address scientifically. For instance, science cannot address the question of what happens when someone dies other than to provide a biological explanation (i.e., the body's cells eventually die due to lack of nutrition, the body then decomposes, etc.). Science is also unable to address the question of a higher purpose in life other than simply to reproduce. Finally, science cannot disprove or prove the existence of a higher being. Each of these existential components is discussed below in greater detail.
Studies have found that fear is a factor in religious conversion. Altemeyer and Hunsberger (1997), in their book Amazing Conversions, note that one of the primary motivations for people to seek religion was fear of the the unknown; specifically, fear of the after-life and what it portends. While fear likely does not motivate all religious people, it certainly is a factor for some. Religion can provide a non-falsifiable answer to the question of what happens after people die. Such answers can provide comfort for individuals who want to know what will happen when they die.
Religion providing a purpose in life was also a motivation found by Altemeyer and Hunsberger (1997) in their analysis of religious converts. Batson et. al. (1993) and Spilka, Hunsberger, Gorsuch, and Hood (2003) also point to this factor as an explanation for the continued interest in religiosity. Interestingly, Diener (1999), in his research on Subjective Well-Being (SWB) notes that one of the keys to high SWB (a.k.a. happiness) is a goal or purpose in life. However, he introduces a caveat that is particularly telling for religious individuals for the most positive impact on SWB, goals should be difficult but attainable. Difficult but attainable is a good description of salvation for religious people. People have to work toward salvation, but they believe it can be achieved. Thus, religion can provide a goal and purpose in life for people who believe they need one.
Belief in God is attributable to a combination of the above factors (i.e., God's existence alleviates fear of death and provides meaning), but is also informed by a discussion of socialization. The biggest predictor of adult religiosity is parental religiosity; if a person's parents were religious when she was a child, she is likely to be religious when she grows up. Children are socialized into religion by their parents and their peers and, as a result, they tend to stay in religions. Alternatively, children raised in secular homes tend not to convert to religion. This is the underlying premise of Altemeyer and Hunsberger's (1997) main thesis they found some interesting cases where just the opposite seemed to happen; secular people converted to religion and religious people became secular. Despite these rare exceptions, the process of socialization is certainly a significant factor in the continued existence of religion.
Combined, these three social-psychological components explain, with the help of religious pluralism, the continued high levels of religiosity in the U.S. People are afraid of things they do not understand (death), they feel they need a purpose in life to be happy, and they are socialized into religion and believing in God by parents.