It is well documented that the USA is much more religious than europe and there has been a lot of discussion about why that is. The best theory I've heard to date is that because european countries are homogeneous with state sponsored churches, there is no competition and therefore no advertising or effort to keep people interested. The churches don't need fanatic supporters, they have state backing and no competition.
But I have always thought of religions as serving as the format of the relationship between the believer and the universe he finds himself in. And perhaps the reason that the USA is more religious is because our government doesn't take as good care of us as the european countries. In scandinavia you don't need to worry about as much because there is a real social safety net supplied by the government. But here in the states if you don't have money or family with money, you are out on the street. There is real anxiety and insecurity that needs to be both emotionally and fiscally compensated for.
Maybe europe is less religious because they have less public anxiety.