Here is an interesting blog post about evolutionary explanations for religion. I just skimmed the comments, so maybe I missed it, but I do believe that not a single person suggested that people in all times and all regions of the world tend to believe in a higher power because...there exists a higher power.
As always, I'm not trying to make the case for theism in this short blog post. This is just another hilarious example of how really bright people overlook a very obvious point. (For an analogy, nobody would be puzzled at the "evolutionary advantage" of widespread belief in the heliocentric model. And note that for most people, belief in this model doesn't convey an advantage at all--even sailors don't really need to believe it in order to accurately steer.)
One last caveat: I realize there is a distinction between organized religion and faith in God. But the existence of God would certainly shed light on why so many people throughout human history have believed in Him.