Through most of our evolutionary history, the speed of making a decision has been at least as important as correctness. Rationality is expensive and until recently (in an evolutionary time frame), we haven't had the luxury of that time for very many decisions.
Pascal Boyer, in his book "Religion Explained," argues that religion is, in part, based on a false (and expedient) decision that certain events are due to a conscious actor. It boils down to the evolutionary cost of certain types of errors. For example, the rustling in the bushes. There's an evolutionary advantage to making this mistake over making the opposite mistake. In that case, the lion caused the rustle and the mistake meant that you didn't pass on your genes. If you were wrong the other way (concluding it was a lion when it was really the wind), you had a few seconds of fear, but got to live to pass on your genes.