What helped me was reading books and watching videos about the early development of Christianity. I can recommend a video shown on PBS, and probably available for purchase, titled 'The First Christians'.
A good book, which I found at Barnes and Noble, is 'The History of Pagan Europe', which contains lots of information about the interaction between the established pagan religions and the new christian faith.
One point which I learned was that non-christians were not bloodthirsty savages, or evil demonworshippers. Instead, they lived in a world in which some were cultured, educated, and refined, and whose life work was the betterment of society. Their culture was composed of people of many different tastes, so some probably enjoyed events such as the gladiatorial contests, others were probably turned off by such things, just as many are turned off by football and action movies today.
Another point was that, if one gives any credence at all to the writings of non-christians, then christians themselves were not all passive do-gooders, some apparantly were involved in acts of arson (perhaps in an effort to jump-start Armageddon?). Rome allowed worship of many imported gods and goddess, such as Mithra, Isis, and others. Why would Roman culture single out christians for persecution, unless given a good reason? Apparantly, christians brought persecution upon themselves, so that they could say 'look how the world rejects us, therefore this proves we have Gods favor'.
A final point was how, once christianity achieved political power in the wake of Constantine, they were particularly brutal towards pagan practices. While the pagans had been tolerant of many varying beliefs, christians were tolerant of none but their own, and killed those who disagreed. The adoption of christianity as the state religion by Rome led almost directly to the Dark Ages, which lasted more than 1000 years.
Christianity didn't catch on because it was in any way better than other religions, rather it was chosen by Constantine as a political move, perhaps in no small part because his own mother was christian. There was no special quality which made Christianity better suited than other beliefs. In a similar light, JWs are really nothing special. They claim to be practicing christianity as it was done in the first century, however this is not anything of which to be proud. We were deceived, but we can be proud that we saw through their deception and cut off our association with them.
Despite what they would have you believe, there IS life outside the organization, and it is a better life than one in which every thought is monitored and rigid codes of conduct and dress enforced.