I am not sure that supernatural things are all so comforting or that wanting really plays a big part in what you believe.
Not all but religious ones tend to have a high element of that. Afetrlife, some sort of entity that loves YOU etc. etc. Comfort and inspiration seem to be widely cited reasons for religious convictions.
I don't know if I 'wanted' to be a Hare Krishna, if I could jsut snap myself into believing it.
I am sure you could not. But abandoning beliefs that you have been raised with and that provide comfort and security in times of crisis would be difficult even if all the evidence suggested those beliefs were totally unfounded. No?
Can the physical evidence lead to the supernatural?
There is a long history of physical evidence debunking supernatural explanations. Fire, weather, fertility, gravity etc. etc. etc. have all been attributed to the supernatural at one point or another. If anything it seems that this debunking trend is likely to continue.
In the event of their being genuinely supernatural phenomenon (e.g. Gods) then it would require that they leave physical evidence of their existence I guess (no idea what that ould be). Hence the whole 'science cannot disprove God......' thing that leads to forums such as this and discussions such as this one.