I can only answer for myself.
For me, it felt exciting to be a member of the one and only true religion on earth. It felt gratifying to be superior to all other relgionists. To know that I was "special" in the eyes of God gave me a feeling of pride and superiority.
I also lived in a state of comfort. It was easier to let the organization do my thinking for me. I felt a sense of security by having my reality sliced, diced, and trimmed into nice, neat categories where I did not have to confront the ambiguities or uncertainties of life. I did not have to worry because "the end was just around the corner".
Another factor was the social aspect of it all. My only friends and aquaintances were Witnesses. This reaffirmed my faith in the organization. My reasoning was that if so many wonderful, intelligent people are convinced that this is the "truth", than it must be.
I think that the salvation by works concept also provides a morbid form of security. I reasoned that as Jehovah's Witnesses, we were superior to all other Christians because we worked so much harder than them. "Other Christians are lazy and complacent" - was my thinking. As tiring, exhausting, and discouraging as the organizational treadmill was; I was sure that working hard and toiling in organizational busy work (however unfulfilling it might be) would garner favor from Jehovah God. In short, it was my ticket into the New System of things.
. . . . . . . . If I only knew way back then what I know now.