Well, I'm not sure what you mean by 'improving your existence', but I'll try to answer. I fear it's going to be a long one, but I promise you substance. I won't waste your time.
In general, the common ethic is to believe what is true, disbelieve what is false. One should believe a religion insofar as he thinks it is true. Now, there are a lot of questions for which we may not have questions and perhaps they're not all worth pursuing. Religion, however, is very much worth pursuing because of its extra incentives. For example, maybe it's true that the moon landing is a hoax, but it's not too necessary for me to exhaustively pursue the truth there because there's little impact on my life. Whether or not God exists, on the other hand, impacts all sorts of things like the validity of reason and logic, morality, and knowledge. Moreover, part of religion is determine whether we have have obligations to one another and to our Creator, whether or not there are rewards and penalties to behavior, etc. All of this is pretty crucial to live.
Finally, there are all sorts of psychological rewards that come from the assurances and answers that religion provides. In a minute, I'll start motivating some of theism's advantages in more detail, but the truth is, once you really become a part of a religion, it isn't the logic or pragmatism that keeps you there. You really fall in love with the person of God, and that is what sustains belief. Once upon a time, I thought I believed in God because I needed a warrant to believe in morality, logic, and knowledge. Now, I believe in God because I love him, and you can't love (or hate, for that matter) what you don't believe, and you can't easily stop loving.
1) Morality
This is a common argument, but it's often very misunderstood. Theist's often say that morality depends on God. Atheist's deny it. They're both so certain because they use different semantics. When a theist says 'morality', he refers to an intrinsic property of rightness/wrongness apart from the harms they cause. When an atheist says 'morality', he means rules of behavior that have developed in society to keep peace. The atheist is right in saying that people can live good (i.e. well-behaved) lives without God. The problem is that people that live 'bad' lives really just have an aesthetic disagreement with society. A serial killer just 'likes' to kill people, whereas the world doesn't 'like' people killed. It's not clear what distinguishes this difference of opinion from vanilla v. chocolate. One difference, of course, is that the serial killer affects other people when he kills. That may matter to society, but not to the serial killer. It's not clear why he ought to change his beliefs to match the majority. Certainly, society has an interest in stopping him, but it's an aesthetic interest, and when they jail him or kill him, it's an aesthetic imposition of force like his own aesthetic imposition of force when he claims a victim. The theist avoids this quandary, because in his view, morality is spiritual in nature. Society can stop the serial killer, not because they have the power, but because they have some magical thing called 'justice' or 'rightness' that justifies them. In general, when we make moral criticisms, we really have to believe in the spiritual reality of morality. Otherwise, we're imposing our tastes on other people, and power = justification. Morality as a spiritual reality suggests a spiritual author, and pursuing that nature of God is understanding our moral obligations.
2) Reason & Knowledge
The fundamental assumption of any generalized statement is the law of induction. This law simply states that we can make generalizations if we have repeated confirmations of a hypothesis. For example, we all take for granted that gravity works the same way everwhere. Of course, no one has tested every point it space, but we take it for granted because we've seen repeated confirmations everywhere that we've tested. Pretty much all our knowledge, every theorem, every postulate, every truth, depends on induction.
So, how does one motivate induction? Well, one might say that we've used induction so many times successfully, we feel pretty confident that it works. The problem is, this reasoning is induction. We can't use induction to prove induction. So, how do we have confidence in the idea that the universe is ordered and uniform? Theists say that the created is like the Creator. Without that, it's not clear how induction can be motivated, and if we give up induction, we give up reason and logic.
3) The spiritual self
Most all of us presume a spiritual aspect of the self whether we know it or not. For example, consider the concept of ownership. Take a 5 year old girl named Julie that owns a teddy bear. Say, she puts in in the attic, and then 25 years later retrieves it. Is it still hers? In virtue of what? She may look different, have a different personality. Physically, she shares very few cells in common with her 5 year old self. Most or all of her attributes have changed, so how come she still owns the bear? Maybe there's another 5 year-old girl next door who more resembles the 5 year-old Julie. Shouldn't she have a better claim to the bear?
It's hard to believe that Julie still owns the bear because her cells have certain chromosomes, or because the bear actually belongs to one of her brain cells that hasn't yet died. Certainly, almost no one believes this. Rather, we all believe that there is some part of Julie that hasn't changed, a spiritual part, wherein lies her identity. Understanding the spiritual nature of man, however, is one of the goals of religion, and its existence suggests a God.
There's a lot of other things one can say about what God means for man's capacity to love, his relationship to the environment, his relationship to his fellow man. Theism says that there are actual instrinsic obligations here, whereas atheism by and large asserts that there are only social conventions (though they may advocate social conventions as vigorously as any theist might advocate righteousness).
Religion is about answering a category of questions that cannot be answered by science, that is, the knowledge cannot come from consistent observables. Religion, according to some, is about finding a way of life that maximizes happiness or harmony or something. It doesn't make sense to me that we ought to pursue any 'value' unless we know that we can and ought to pursue it, so it's not a definition I subscribe to.
As for which religion, that's another big question. I'm a Christian, fairly Orthodox in my views, and I strongly advocate it as the most reasonable and reliable of religions. I'll make some quick statements here, and if you want more detail, I can offer that later.
The pluralistic religions generally don't seem reliable to me because the tenets of many faiths are mutually exclusive. The most fundamental question in philosophy is 'Does anything exist.' In reference to the external world, the western faiths have said yes. The eastern faiths have said no. That's just the beginning of the disagreement. Besides, truth is by nature exclusive. To believe one thing is true is to believe distinct alternatives are false. Otherwise, you lose the meaning of truth.
If you choose the western religions, look at the texts. Do they have one author or multiple authors. One might guess that a single author is less reliable. Are there contradictions? In fact, its very hard to find contradictions in any religious text, because generally the rules of interpretation by the faith are such that the text is self-interpretive. If something 'looks' contradictory at first glance, one simply examines the context to find a reconciliatory interpretation. If you want to argue about what a religious text's rules of interpretation 'should' be, go ahead, but I think that's hard. I'd suggest you study contradictions hard before you believe them a proof of any texts unreliability. Finally, ask yourself if the message makes sense. Does it make sense that people can do enough good to approach a perfect God? If God separates out the 'best' people, how does he draw the line, and is it arbitrary. Christianity, of course, is not about discriminating righteousness based on behavior, but by grace. It's very unique in that sense.
I think someone objected to your phrase 'joining a religion' because it suggests a lack of independent thought. Firstly, let me say that there is a lot of independent thought in organized religion. If lots of people tend to share similar beliefs in an organization, maybe it means that the people are weak fools, or maybe it means the organization has a rigorous and compelling theology. Often, it's some of both.
Also, a word on independent thinking: it's mostly a myth. 99% of everything anyone believes depends on relying on other people's information (I'm estimating the statistic myself, so don't quote it, but think about whether or not I'm right). We depend on media, elders, books. Even the way in which we choose our sources is random and based on feeling or what we've been taught. How much knowledge has any one person actually come up with? Almost nothing. Most of what we don't get from others, we choose based on pragmatic concerns or feelings. Does the external world outside your mind exist? Nothing can prove it to you. You just make a choice, and it's nonsensical to talk about the reliability of such a belief. Moreover, independent thinkers are apt to come to very different conclusions. You would think that if independent thinking was reliable, they'd all gravitate toward the most reliable truth. To be a thinker is no easy to task, and wisdom is hard to obtain. Discernment isn't about finding your own truths, but rather about finding who to trust. That latter part is no easy task either. I'd start with prayer. In fact, I do, daily.
Let me know if you have further questions.