God gave humans an imagination. In my opinion it is likely that God set up this stage upon which humans may live out lives for the most part; according to choices they make. Why God did this can be speculated upon and reasonable conclusions drawn. Of course, it is noteworthy first of all that a measure of faith is necessary to accept that there may be a God. That is, a Supreme Being who created the universe and us. That is pretty much what practicing a faith is, and billions of people have chosen to do that. While the fact that practicing a religion is not made more sensible simply because a lot of people do it, I would assert that there is nothing inherently unreasonable or insensible practicing a religious faith. Further, I assert that intelligent people all around the world have considered the question of there being a God or not, and based upon faith and\or reason many have chosen to believe there is.
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Ambassador From Hell
P.S. I am a double-agent and I am actually working for Heaven. I plan on seeking asylum due to my beliefs and the fact that I may be persecuted if I were forced to go to Hell.