Why and the religious sense
The religious sense is (statistically) so common, in man, and I would bet, in any intelligent species, because it arises from a fundamental misconception of the world. This is the Hermeneutic Misconception, the result of layers of abstraction peeling away the particular to reveal the patterns underneath, the regularities that support life and give intelligence its advantage, and eventually lead to the invention of words like 'why' as part of the (for a while) fruitful search for 'meaning' in the world around us. Eventually the word-symbols trick us into asking, 'Why are we here?', 'Why does anything exist?' or 'What is the meaning of life, the universe and everything?' Douglas Adams wrily hints at the vague emptiness of the question by gesturing so broadly - 'life, the universe and everything [else that we can't name]', i.e. what is the meaning of the ineffable or the uncapturable? Because we are an embodied species with real concerns, we reify this mystery, we call it God. This is the Hermeneutic Misconception, that there is something to understand beyond our understanding, that if we could only try a little harder, we could make sense of, and discover the true answer to, the question 'Is there a God?'. We can no more make sense of, nor find the true answer to, the question, 'What colour is God?' or 'When is time?' or, simply 'Why???'.
We have learned throughout prehistory that some forces or effects that seem out of our control can be affected by our actions, though we do not always understand quite how, and we know that we can best predict and manipulate the world around us by attributing intentions, beliefs and desires to the people, animals and inanimate objects ('The water wants to go back to the sea'), until we see a humanly-comprehensible mentality even where it is not instrumentally helpful for us to think of things in this way, in terms of Mother Nature, the Greek or Hindu gods, cars and computers, and the universe.
'How' is a much safer question. It admits a reliabilist answer, and a how-dogma can always be trumped by a more successful, rich + predictive or explanatory one - that is, as long as it isn't shackled to a why-dogma, a metaphysics whose dictates (or more specifically, whose advocates) sulk and pout violently when undermined by new evidence. The only healthy how-dogma is a humble science, a willingness to consider no view too sacred to be usurped by a better one. The issue becomes then how strongly we should understand the claims made by such a science - are scientific theories true (at least until proven false), or merely instrumental? Can it accept that there are truths that we cannot know or understand?
A strong candidate for such an unknowable/incomprehensible domain concerns the origin of everything. 'How did anything come to be?' The problem is that while this question appears to avoid the traps surrounding its sister-question, 'Why did anything come to be?' or even 'Why are things as they are, rather than different?' or 'Could things have been/be different?', they still get ushered in through the back door... For the most part though, I feel safer with how-questions because I feel as though they permit definite answers - 'like this', 'these are the hypotheses' or 'we don't know'. Of course, that's not always true - there's quite a lot of speculation even in how-questions :(