Here. Some commentary, although sometimes a little flamewary, from Metafilter here.

There's one possible explanation that Dawkins rules out immediately:

Other theories miss the point of Darwinian explanations altogether. I refer to suggestions like, “Religion satisfies our curiosity about the universe and our place in it.” Or “Religion is consoling. People fear death and are drawn to religions which promise we’ll survive it.” There may be some psychological truth here, but it’s not in itself a Darwinian explanation.

I think he's missing the Darwinian explanation: a propensity towards religious belief evolved in our brains to keep us all from killing ourselves in despair. Imagine two tribes of human beings, one with the religion gene and one without.

The religion gene tribe thrives, because it bothers to procreate, because it's able to go on day-to-day, because its members are less likely to throw themselves off cliffs when they realize what the world is really like.

I'm a believer in Dawkins' memes, but I'm not convinced that religion is really an abstract mental construct with no physical survival value. I think there's a pretty clear survival value.

This was another thing Marcus and I got to talking about during our big death talk last night. Religious evidence basically becomes entirely untrustworthy if you can conceive of religion as an evolutionary side effect -- how can you ever know that your mystical experience is really real and not just a side effect of your brain's desperate desire to see/manufacture some pattern in the chaos of life?

If our own brains are working against us in our search for God, epistemologically speaking, we're in a lot of trouble.