I've heard theories that religions began as a way for people to cope with death and (by extension) the "meaning of life"... of course, this was in a course on "death and the afterlife in religion" so take from it what you will!
I've also heard it suggested that it comes from a desire to understand the "other" ... be that other supernatural, subnatural, outerworld, inner self, afterlife, before life, or even things like weather phenomenon.
If you look at a lot of aboriginal religions (African, N. American, Australian, S. American are some that I'm familiar with), both death and the Other seem to be central concerns. Things like Greco-Roman, Egyptian, etc. religion also have similar tendencies. *Shrugs*
Then again... the question really comes down to "what is religion anyways?" Hm... second time I've posted that in a thread today... maybe I should start a new thread, so as not to derail this one.