Languages often divide the world into first person (the speaker), second person (the listener), and third person (everything else). Maybe this implies a natural way the human mind likes to divide up the world too, each area treated as roughly equal in importance with the others. Thus the self is one area, just as important as all the rest of the folks we interact with, and each of those areas is no less important than the entire universe besides us and them.
Since religions apparently have a pretty natural appeal to all sorts of human minds, it's not surprising that they give roughly equal attention to just those three areas too. The first person part deals with the personal fate and well-being of the believer (religions make you happy and give your life purpose), the second person part deals with the believer's interactions with others (morality), and the third person part deals with claims about the universe (the existence of gods or the afterlife).
Religions tend to link the three areas into a single overarching theory, e.g. the fact that God or karma exists (third person) inspires us to be moral (second person), and if we're moral, we get rewarded (first person). However, these three areas are not inherently linked. The third and second person areas are divided by the famous is/ought distinction (we cannot derive morality from observations of the world alone), and neither one is linked directly to the first person area (knowledge and morality are not guaranteed to bring happiness).
Tensions over this mismatch between the unifying goal of religion and its ability to achieve it may help explain why there are so many different religions, each one responding to perceived flaws in the others, but just generating flaws of its own. The goal is hopeless; the three persons cannot be unified (those familiar with Christianity are probably thinking of the Mystery of the Trinity right now).
By contrast, science doesn't even bother; it sticks solely to the third person. More accurately, it does sometimes try to dabble in the first person (consciousness studies) or the second person (evolution of morality), but it's safe to say that both areas remain highly controversial. Yet since the human mind tends to think of the world of the third person as at best only 33% of what's interesting and important in life, it's easy to see why science doesn't satisfy most people.