Run to Church?

Why when something does not go right do people run straight to religion? I do not understand this for the simple fact that when bad things happen people should blame the gods for punishing them. Not pamper them more by sending them praise and putting them on a higher stool. This is because the people that run straight to their religion are people who already let their religion control their every move. This should, by theory, make people question why their God is torturing them and making their life more difficult. This could potentially make them question if there is a God and if he loved them so much why he would do this to them.