Most real world religions, current and past, are (very generally) based on either the idea of a pleasant afterlife for the faithful (or avoiding death through reincarnation), or appeasing angry gods.
In Eberron, the gods are silent and all mortal creatures, good or evil, get the same bummer afterlife. So, excepting perhaps The Blood of Vol or The Undying Court, why do the religions exist? Are they justified anywhere, or are they just a trope included in the setting "because D&D has religions"?
Best Answer
Religion Does Provide A Better Life
Priests of the Sovereign Host often provide their services to the people, and attribute positive phenomena to the good gods of the pantheon. While there's no outright proof that the gods interfere in the world or even that they exist at all, their priests do still wield divine magic, and that's gotta account for something. That said, Khorvaire as it stands at the end of the Last War probably has a growing rise in cynicism and atheism (as its real world analogue, World War I, saw also). See also the lasting power of The Blood of Vol even after it broke ties with the Karrnathi crown.
Eberron's Afterlife Sucks, But The Gods May Bring Us Joy And Prosperity In This Life
And when this life is all there is to look forward to, why not believe in something that can improve this life?
Eberron Attempts To Explore Religion In A World Where The Afterlife Sucks For Everyone
I suppose its up to each individual how successful the setting is in actually achieving this without it feeling tacked on. As a DM of a devout Sovereign Host Archivist I found much of the pantheon and faith fairly fascinating.
I'll Let Mr. Baker Take This One
Keith Baker, the designer of Eberron, actually has an answer to this very question on his own blog. Dragonmarks 4/11: Religion, Faith & Souls. He covers pretty much the same ground as I did above, but he offers really interesting insight into how followers of the Sovereign Host perceive the function of Dolurrh that I had never considered before (namely, that the stripping of memories that takes place in Dolurrh is what prepares the soul for ascension to the higher realm where the Sovereign deities live).