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Honestly, I think we have it a lot easier than the theists in that regard. If someone dings my car, I find that my dog has cancer, or I lose my job, I don’t have to address the problem of evil. I don’t need to figure out how to square the idea of an omnipotent and omnibenevolent god with misfortune. I don’t need to wonder if I am being punished or tested, and I don’t have to worry about prayers that aren’t being answered.
There are multiple non-theistic philosophies and religions that offer a framework for understanding and coping with negative events. Neither Buddhism nor Taoism have an explicit dependency on anything supernatural, especially in the schools and forms most popular in the West. The general idea is that we need to be less attached to certain outcomes and that our suffering arises more from our wanting the world to be how it isn’t.
There’s also a large number of non-theistic schools in Western philosophy that have taken their own various approaches to questions ranging from the meaning of life and the meaning of suffering to how to identify and pursue the good. There’s multiple schools of existentialism, of course, but I would even think that writings on the nature of justice (eg John Rawls, Michael Sandel, Peter Singer), the nature of the ego and human experience (eg Thomas Metzinger), and even works of film and literature can help approach an understanding, which is itself perhaps the best coping mechanism.
Don't rule out Nietzsche either, with his ideas on the creation of your moral system, becoming a "god" unto yourself, exercising will through art, and will-to-power by helping others (and thus altering their lives and will in a much more effective way than harming them as a "show of force" / what most think of as power). I highly recommend studying his thinking very deeply when anyone abandons the idea of god. And remember, even though god is dead, in thus spoke Zarathustra the character (representing one of us, who knows that god is dead) never told that to the monk, but rather envied his ability to believe. Believing in a god is by far better than taking that responsibility on yourself, but for us, it is no longer possible. We ought to envy that kind of belief.
But at the same time, any dogma that harms us or others (Christo-fascism, all forms of theocracy, etc.) is objectively bad except to those in charge of it. Which is no one except one who "speaks for god," and protestant Christianity has abandoned such a figure and taken on a life of its' own. It helps no one, not even a person in power, and thus should be abolished.
But as I said, I envy those who hold other beliefs. For now we must take the responsibilities of god onto our own shoulders.
I think the idea of being envious of religious people is grounded in two fundamental errors. First, it is attributing a level of solace to religiosity that is rarely, if ever, achieved in practice. Yes, you can find religious people who are content, but the same applies to Zen monks who have no god but do have a grounding in a framework that explains the world and their role in it. As the Buddhists point out (if we can take that path), discontent and suffering comes from wanting the world to be different than it is. Whether one subscribes to a Buddhist philosophy or thinks everything is in God’s hands and is therefore all for the best, the key is accepting what happens. Or in the Taoist saying “Sitting quietly, doing nothing. Spring comes, and the grass grows by itself.” My point here is that it’s absolutely not religion that’s responsible for that, but rather a philosophical point of view that can also be arrived at via non-theistic justifications. I’d argue it’s even easier without the god part, since you don’t have to rectify with the problem of evil. If an all-powerful and loving god gave your newborn child a fatal disease, that’s a lot to have to figure out. That’s where you get all of those ridiculous, stomach-turning platitudes. If your child developed cancer because biology is kind of stupid (and I’m saying that as a biologist), it is still a cause of sadness and mourning, but there’s no causal party involved.
The second part is that whether you’re reading the lives of the saints, talking to friends, or pouring over the latest Pew survey on religion and life satisfaction, you’re looking at self-reports.
Do a thought experiment. Pick a cult-like religion. It could be Mormonism, adventism, Scientology, or something more like a David Koresh or desert dwelling new age thing. Imagine running through questions about satisfaction and happiness with those members, given they know you’re interviewing them on the basis of the religion they hold and (essentially) whether they’re good people because it’s working for them. Or talk to former members of those cults about how they acted versus how they really felt and what that realization was like.
At the end of the day, we as atheists have fewer reasons for existential dread because once you progress past the theology of a twelve year old, there’s far more problems introduced than answered by religions, and a large percentage of those problems come from the mythological component of their philosophies. I don’t go around trying to pick arguments or disabuse people, and I very, very much get Marx’s point, but I think he under-theorized the social and psychological dimensions and that he could be over-generous.