I read a post at Wired Science entitled "Religious Experience Linked to Brain's Social Regions." Researchers studied MRI's of people with differing beliefs in the western view of God. Here's what they found:
People who reported an intimate experience of God, engaged in religious behavior or feared God, tended to have larger-than-average brain regions devoted to empathy, symbolic communication and emotional regulation. The research wasn’t trying to measure some kind of small “God-spot,” but looked instead at broader patterns within the brains of self-reported religious people.
Of course, this study is only correlation, so we can only speculate on what the causal chain may look like. These enlarged brain areas, vital for social interaction, may have given humans the capacity to conceive of another being. Researchers suspect that this capacity may have evolved in brain regions which govern our ability to understand other people and animals.