Pascal famously argued that practical reasoning should lead people to try to form within themselves a commitment to religious practice and obedience, based upon a belief in God. I propose to take a less ambitious argument, which I call the Sensible Argument, and use it to present The Puzzle. I argue that there is a huge puzzle here, about the radical dissonance between the beliefs and practices of many of the purportedly religious. There are, I will argue, good reasons to doubt, concerning many (clearly not all or indeed most) purported religious believers, whether they are indeed believers, or at least whether their beliefs are strong; and religion seems to greatly increase the risks of deception, duplicity, and hypocrisy, as well as self-deception and inauthenticity. By turning towards a religious form of life, one will therefore be adding great morality-related risks. Arguably, if there is a God who deeply cares about individual moral behaviour, he would punish religious moral transgressors more than the secular ones. One is unlikely to be saved from hell (or other severe divine punishment) by becoming religious. If one is going to wager, it seems much more sensible to wager on the secular side.