Simon buddy, I went through the same thing. Though I'm not sure I was as 'into it' as it sounds like you were - youth group, theology, and missionary stuff and all. Though I once dreamed about being a missionary too at one point. Or was that a rebel?

well, there were definitely missionary like elements to it.
And damn, you had to attend church 4 times a week? 4 times? I would have died (especially since I was forced into a little frilly dress for it). Luckily for me, I got by with only 2 + the various church functions or whatever.
Anyway, I was just thinking about this the other day. I had been going through my old blog here and deleted an old thread on religion because it was no longer applicable.
My parents are first-generation believers more or less. They actively chose this as young people. I believe it makes a huge difference between something you are indoctrinated into and a personal choice. I don't actively believe but for my folks, I liken this to a passion. My mother gets something out of praying and praising the lord. My dad gets something out of preaching. There are so many needs and desires that religion serves - the need for community, for meditation, self-reflection, a sense of belonging, hope, comfort, personal values, and various cultural functions. I think for many people, it gives them a reason and support to change for the better.
I think religion can be a very good thing for those who chose it and are enjoying the practice.
I really, really like the idea of Jesus too. I think I clung to Christianity for two main reasons. For one, the whole 'Big Bang and Chimps' theory seemed wholely unpalatable and unromantic to me. The whole idea of some poor carpenter suffering on a cross just for
me is cinematic to say the least. So are the big, beautiful historic churchs involved. I always wished our family was Catholic for that reason. Going to confess to some ancient priest hidden behind a door - that sounds kinda hot. (I mean absolutely no offense to any Catholics, but to an outsider it sounds awesome.) And declaring myself a horrible, wretched, undeserving sinner saved by the blood of a crucified god? Sign me up! Really, when you think about it, these concepts are pretty hot. (Hey, Madonna thinks so too.)
I also believe I clung to Christianity because of the promise of seeing loved ones again. I mean dying and instantly being gathered up to some beautiful paradise to reunite with departed loved ones? Who wouldn't like that idea?
It sounds like a cop-out, but I now believe in the power of the human mind, nature, and little else. I still believe there is an order to all this of which we haven't discovered.
I do occasionally pray though, especially with my mother. I don't know why, but I do believe closing your eyes and wishing the best for someone does help. If not, it can't hurt.