Paganism is a path that we have to walk alone. Even if we have the support of others, or are part of a coven, it is a religion that puts a lot of importance on personal beliefs and practises. This means we each have to find our own way and carve our own path, and this can be pretty scary.
I have never been a Christian but sometime I can see the appeal in a religion where you are spoon fed all the answers; divinity is explained, ethics are proscribed, what happens after death is made clear. You don't have to think or participate, just show up and listen* Following your own path is hard. It is a constant learning process; a constant round of reading, evaluating and experimenting. Something you are so sure of one day can suddenly be ripped-down by something else you discover the next.
It's hard, and it's scary, but it is also great fun. Finding your way, carving your own path and building a personally significant religious practise is the reward for the hard work... and it is one hell of an award at that.
*(I am aware I am grossly over-simplifying and generalising but I am engaging in a little poetic licence here)