It's comforting because it means you're important. If there is a god who cares enough (either way) to send you to hell if you're bad and reward you if you're good, then you're not someone insignificant...you're a person worthy of god's attention. Otherwise god would just say "yeah, whatever...hell, heaven...I don't give a shit!" Feeds beautifully into our innate narcissism. If you go to hell, you're a badass gangsta worthy of the company of Lucifer himself.
It bring out the inner masochist in us. We gain pleasure from being crapped on and punished. Because even that way we're not being ignored.