I'm not a fan of organized religion. I will also say that looking inward has great rewards.
Now that I've stated my core beleifs on this, I'll play the devil's advocate, so to speak. 
Religion doesn't make you feel bad. No one and nothing can make you feel bad. You feel bad because you choose too. You may feel the way you do without consciouly selecting your emotions. Merely reacting from a series of experiences which are left you programmed to go from emotion to emotion without the sense of control. However, that is an illusion and you are just choosing not to take control of those feelings. This is the may most people live their lives, only choosing to control the most violent of emotions.
Moving past the theoretical. Religion offers many things that can be very helpful. Catholism offer confession. Wow that is a cool thing. I'm not Catholic, but wow. At anytime you can go and become absolutely acceptable to god just by asking for forgiveness that is powerful and very helpful, if you want it and believe it.
None Catholics, just call it taking god into your life, or accpeting god. Many act like it's something you can only do once. Why? Many say that if you do this you must behave this way and that way. However, many of them differ in what they say.
The religions say there is an all powerful being that is taking care of you. That is cool too.
Okay, most religions say a lot of bad things will happen to you if you don't blah blah blah. Well some of it is true. Religion is a creation of man. For a long time is was probably the only source of education and positive force in civilization. Following a ruler is usually done out of some form of fear. Religion also carries a whole pile of historical and political baggage. Okay, most religions have some fear but they also have a core of positive motivating messages.
You can take the good and leave the bad. You have the power to choose. The people who acquire the image of being the most religious are those that predominantly choose the positive and letting the negative fall to the side. Taking up the mission of accepting the positive and showing it as the true way is and not allowing those who gather the negative to dictate how a religion should be directed is a loudable calling. However, come from a positive elements. Do not use the negative elements in the battle.
The meek will inherit the earth.
I have to close with the statement I started with. I am not a religious person. I don't actively follow any religion. I have a christian background, but less firmly founded in experience than most. Well at least outside of the christian media.
Sending love,
Iam2 