Most people simply adopt the religious beliefs of their parents. It makes good evolutionary sense for children to believe what their parents say. If children did not have this built-in willingness to accept what their parents say, they would be more likely to disregard their parents when they are being warned of a real danger. When a parent says "Watch out, there's a tiger!" or "Don't touch that flame!" or "There's a cliff behind that bush!", it's a good idea for the child to simply believe their parents because they haven't had enough experience with the world to know what's dangerous and what's not.

So children are naturally gullible. Tell your child that a fat man delivers presents to them every year with a fleet of flying reindeer, and the child will believe you. Tell your child that a magical fairy will replace their lost teeth with money, and the child will believe you. Tell your child that a gigantic bunny rabbit is going to leave chocolate eggs in a basket for you during the night, and the child will believe you. Tell the child that a magical god-man died for our sins and that you'll burn eternally if you don't believe that, and the child will believe you.

The thing about religions is that they're not just arbitrary belief systems. They have evolved over time, just like you and me. A religion that has ideas that people are willing to accept will spread far and wide, whereas a religion that has less successful ideas will die out. For instance, if there was a religion where one of the beliefs was you can't talk about the religion to anybody, that religion would get nowhere. If there's a religion where you have to go out and actively evangelize, that religion could easily spread around. If there's a religion that says all sex is wrong always, the followers won't have any children, and they'll have to rely solely on converting people. On the other hand, if you have a religion that urges people to be fruitful and multiply, that religion will have many more supple young minds to prey on.

One of the best features for a religion to evolve is the feature of being emotionally comfortable. People aren't going to be attracted to ideas that make them afraid; they're going to go after ideas that make them feel better about themselves. That's why so many religions promise that you have an immortal soul; that completely takes away the fear of death (or, at least it's supposed to...most religious people I know succumb to their natural fear of death anyways).

Most religions also have some sort of built-in automatic cosmic justice system. People don't like seeing bad people go unpunished and good people go unrewarded, so people believe concepts like heaven/hell and karma which guarantee that justice will eventually be served in the grand scheme of things. The monotheistic God concept is especially popular because it personifies that "ultimate justice" concept. It deludes the believer into thinking that an all-powerful father figure is looking after them and their families, making sure everything turns out all right in the end.

These are very emotionally powerful concepts, and usually strongly reinforced by the child's social network, so they are deeply ingrained in the child's mind before they can really examine the other belief systems that are out there or critically think about the tenets of their own religion. They don't even want to think about the possibility that they might be wrong. The idea of giving up God, giving up eternal life, giving up ultimate cosmic justice is just too scary for them, so they take those ideas to the grave.