I find it interesting that throughout history all cultures have produced some sort of religion (as far as I know). This tells us that human beings are religious animals (not that there haven't always been unbelievers).
It's difficult to know what to make of this, since we have no one to compare ourselves to. If we met some alien civilization which was not and never had been religious, then we would know that religiosity was peculiar to humans. As it is, I think we have to assume that religiosity goes along with being conscious.
Consciousness is the feeling of incorporeality, as another poster on this forum has put it. That's why we find it easy to believe in the incorporeal.