It's in interesting question, CA. While I appreciate Steve's veiwpoint, I disagree that intelligence or simple-mindedness are factors for most converts. YOu might argue that very few college/university graduates become JWs, but plenty of Mormon's have higher education and they believe fantasy, too.
I do think where a person is at in their life plays a role. I was born in, but I got there through my aunt. So here's her story and what I think attracted her.
My aunt grew up on a farm, was the eldest and was responsible for helping raise her siblings. She burned with intelligence but never had the opportunity to go to university. After leaving home she became a union activist fighting for workers rights, and she was the first female in Canada to hold her particular position within the criminal justice system.
She fell in love with a man whose brother was just becoming a JW. While that man was away at war, the brother hid his letters and told my aunt her lover had found a new girlfriend. Heartbroken, my aunt turned to the brother, and at the same time, embraced the religion. The idea of living forever on paradise earth was a huge draw, and she immediately shared her new faith with her siblings. She wanted to do something positive to change things. Had she gone to university, I think her life would have been very different, but she did not have those opportunities. I believe she considered the religion a way she could make a difference - by converting as many people as possible. Certainly she was emotionally vulnerable, but I think she also saw the religion as a way to help improve peoples' lives.
She was an extremely forceful personality and succeeded in converting my mother and one uncle. Her parents never believed, in fact, the religion caused a huge rift with her and my grandmother. She became a pioneer at the same time as she married the brother, and was still pioneering when she died at age 86.
I know she questioned many of the practices, in particular around shunning - since she refused to cut me off when I was DF'd and she was there for me through the whole nightmare. I had a few conversations with her after I had faded, and on at least one occasion she came very close to admitting some doubts. But she would have stayed with the religion at that point whether she still believed it or not.