Dan Ariely, Daniel Mochon, and Michael Norton polled people in the UK about their religiosity and their well-being. Of the non-religious, atheists were happiest, followed by agnostics and the just plain non-religious.
For the religious respondents, the researchers asked them how religious they were, and that response seems to have a strong relationship to happiness. The least religious religious people were on average happier than the agnostics but less happy than the atheists. The moderately religious were the least happy of all, but past that point, religious people just get happier the more religious they are. The most religious people were way happier than everybody else.
So hurray for them.