People _need_ explanations. "Why?" is the most common thing any child says. Gods are simple explanations for why things happen. When someone asks "Why is there a winter for 3 months every year?" and you don't know about axial tilt and the orbit of the earth then a simple story about gods of the underworld capturing goddesses of nature does as a great explanation that the masses will understand. And whoever gives the masses their explanation controls them - if you know _why_ there's a winter followed by a spring, then maybe you can do something about it, and the farmers are in favour of that.
Memes spread (I don't have to tell you that on LJ). As memes spread, they enter into competition with each other. When two memes offer conflicting explanations for things, only one of them will be successful (or one will cannibalise the other and incorporate it - why is why Jesus came back to life at the festival of the spring goddess Eastre, i.e. at Easter). Eventually, one nice simple idea will win out - the one with the most explicative power in the simplest fashion. Getting the hang of the Greek pantheon is hard, there's dozens of gods and a very complicated backstory. Getting the hang of Jehovah's a lot simpler (there is a lot of backstory, but very little is necessary for the basic idea - "God created the world. He can do anything. Here's his commandments. Follow them or be punished for eternity."), epecially when Jehovah pretty much sounds like a young child's conception of their father. Suddenly the anwer to all "Why?" questions is "Because he's infinitely powerful" or "God moves in mysterious ways". Now, doesn't that make it easier to answer awkward questions?
I have to thank blackmanxy for this rant, because he sent me this strip, which inspired it.