I recently read a piece that I feel explains the phenomenon quite well [1]. In short: we evolved rhythmic music as a defense mechanism, to unify the tribe into acting a large meta-organism for the purpose of aggression displays against predators and other tribes. As with a lot of other social behavior, it feels good to be part of something larger than yourself, and music connects us emotionally, physically and rhythmically to one another.

This may not tell the whole story, but I believe it's a strong component, particularly given the historical relationship between religion and music.

[1]: http://www.meltingasphalt.com/music-in-human-evolution/