It becomes hard to understand because everything we have ever known has had a beginning and an end (or will end). Having experienced that our entire lives it becomes hard to imagine something that always was, as opposed to something that just started. Lots of mystery still left out there, regardless of religion.
For atheists, what happened before the big bang? Logic would tell us that something can't come of nothing.
For Christians / other religions, if God created everything, who created God?
That entire concept from both ends is interesting.