Ah...the age old subject of belief...
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Nero: As a fellow agnostic (which will probably only show that even in agnosticism there is variety), I don't think that it need be one or the other.
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Personally, I look at it like this:
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There really isn't solid proof of god's existence. (finewine's 'godless geeks' links point out many of the logical fallacies used by many as proofs)
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However, there isn't any way that god's existence can be completely dis-proven. No matter how many theories are plied, or fossils dug-up, there is always the possibility that things exist that are beyond our means to confirm, and beyond our ability to sense.
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Which, of course, is why we call religions "Faiths." They aren't based on facts...they're based on beliefs.
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Most people are taught a religion from the time they are born, and stay with the same one throughout their life. They don't really choose their religion, as much as they don't think to question the one that has been chosen for them.
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Currently, there are about 22 "major" religion classifications (those with over 500,000 members), derived from over 4,000 different religions. If you also include historical religions that have died out, the number increases exponentially. In short, there are a ton of different belief systems out there that one could possibly choose. How one believes in a god can vary greatly.
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More often than not, what someone believes boils down to what they want to believe. "I want to believe that god is benevolent" "I want to know X." "I want to believe in an afterlife." "I want to believe that science can explain everything." etc, etc...
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While following one's own desires can be a good way to bring personal comfort, they are a poor way to determine truth. (And so the question should be asked, what are you looking for in a religion?)
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For me, truth is far more important than comfort.
I don't believe in any specific god...but I don't deny the possibility that a god could exist. I'm open to any proof that might be out there. But in knowing the practical foundational aspects of faith and belief, I'm don't expect to see anything that would constitute proof. Therefore, I can either run myself ragged trying to prove the un-proveable...or I can accept that I don't...and cannot...know.
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It is no shame to admit one's own ignorance.
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"Ignorance is preferable to error, and he is less remote from the truth who believes nothing than he who believes what is wrong."