I used to be religious, although I'm not any more. There were causative factors for me to begin to believe, and then there was at least one reason that made it difficult to stop believing.
The causative factors were that I was raised to believe in Christianity and surrounded by Christians my entire childhood. I went to church, I was taught to pray before bed, went on Christian group holidays organised by the church, and so on. It was unusual to meet someone who didn't believe, except at school, but there everyone was a kid and hadn't really thought about it.
Once you do believe, you begin to see God as integral to your world view. You see his actions in your daily life and attribute causes to him. If something unusual happens, it's very natural to think it happened because of God (especially if you had previously prayed for something), or at least that it happened with God's permission. You feel a feeling of being watched - that if you sin, God will immediately know. Because you have experiences that you believe God helped you with, and because you actively feel him in your life every day, it becomes very difficult to be dissuaded from your beliefs by rational argument, because it's not a rationally held belief in the first place - it's your everyday felt experience.
I was somewhat of an outside case, since I became an atheist despite still feeling God's presence in my life, and had questioned the veracity of my entire life experience. That's not such a common approach to deconversion I think, but it had the effect that for a while as an atheist, I still felt God watching me, but now it's been so long that that feeling's just a memory. I think deconversion usually occurs when someone loses the feeling of God (e.g., God feels unresponsive).