I'm an atheist myself, but if you don't think there are real benefits from the community and support involved in group religious participation you're just as deluded as they are. My parents are involved with their church and I see a lot of benefits that they gain from it, in addition to the sense of hope and protection their "delusional" beliefs bring (which provide some value as well, regardless of their truth).
They have a community of people they've gotten to know fairly well over the years, some of whom they have become good friends with. They take part in numerous "extra-curricular" activities made available to them such as softball leagues, YMCA outings, book clubs, etc. One summer when there was lots of flooding a bunch of them helped put sandbags around people's houses. When I was moving apartments and had a 3-day gap between move-out and move-in, someone from their church let us borrow a large trailer for the week so we wouldn't have to rent a U-haul and deal with unloading it just to load it back up in a couple days.
Then there's the fact that they regularly get together with their fellow church-goers with the express intent of discussing deep topics. Things getting to the core of what makes them who they are. What the purpose of life is. Why things are they the way they are. Discussions of right and wrong. Although I really wish those discussions wouldn't be limited to biblical analysis and based off what I see as extremely flawed premises, at least they're discussing these significant topics. And even if they aren't discovering fundamental truths, there are big emotional and cognitive benefits to just having those discussions.
I really wish there were similar groups for the non-religious. Where we could meet weekly to discuss philosophy and the state of our existence. Get to know a group of people at a deep level, where it's encouraged to discuss our feelings, hopes, fears, and beliefs to get support and feedback. A community that will help each other out in hard times, and organize fun events for good times.