We each create our own reality. When a JW lives his/her life "for the truth" and immerses him/herself in it, then that is reality, that is what is comforting, what is known. It becomes real. The neurological connections in the brain are reinforced by constant propaganda. Okay, so I'm stating the obvious--but the fact is, the cycle of reinforcement is itself rewarding and becomes the purpose, rather than just the mechanism.
Which isn't to say that's the best way to live the 80 or 90 years we're each given. But it makes it a little easier to understand, and as another poster said, when you break out of it and start engaging with life on different terms, not only is, say, walking into your first philosophy class or first "worldly" party frightening, but that much more exhilarating.