Why Religion Makes Only Some of Us Happy

"Religious people tend to feel better about themselves and their lives, but a new study finds that this benefit may only hold in places where everyone else is religious, too.
According to the new study of almost 200,000 people in 11 European countries, people who are religious have higher self-esteem and better psychological adjustment than the non-religious only in countries where belief in religion is common. In more secular societies, the religious and the non-religious are equally well-off.

[...]

For example, a believer gets a happiness boost in Turkey, where religion is part of the fabric of daily life and taking part means you're doing the "right" thing in your culture. But that same person wouldn't see any benefit in Sweden, where few people care much about religion.

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Nonetheless, the findings suggest that research on religion and happiness in the United States — where religion is relatively important compared with many other nations — may not apply across all cultures."

Livescience.com, 25 January 2012

In other words, it's good for you to be in the in group.