Really, all it takes is one unexplained event to create a religion. A solar eclipse; a storm; or an earth quake. Then things like dreams and hallucinations only add fuel to the fire, leading to one person passing their primitive theories down. Once it's old enough, no one can disprove it and faith is installed. Richard Dawkins theorized that religion isn't an inevitable human trait, but is, rather, a misfiring of our brains like a moth flying into a fire. The moth doesn't want to die; it's just following its survival instincts which usually work. Some part of our instinct leads us into the religious fire. He suggested it might be our acceptance of seemingly outlandish information from our elders, in order to keep us safe, but admitted that there may be many other theories out there. He explains it a heck of a lot better than I can, but I think the roots of why humans gravitate towards religion is a fascinating field in need of more study.