This is a very interesting topic
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I have several replies in mind, so forgive me if this post rambles a bit
As Gilda pointed out, I think Penn was confusing agnosticism and atheism.
I'm agnostic myself. I cannot see a way to reconcile the existence of an all-powerful, all-good God with the existence of innocent suffering in the world. I'm not saying that the two things are mutually exclusive, but at the very least I'm not smart enough to figure out how they can coexist. I do not find reasons like, "God works in mysterious ways" or "It was for the greater good" to be very satisfying. The free will explanation does not sit well with me either because in the case where innocent victims were slaughtered, what free will did they have? They were born into circumstances beyond their control and subjected to the evil that other people inflicted upon them with no chance to avoid it.
I do have very strong moral beliefs, but I tend to be very skeptical and critical of everything. I haven't found the "perfect" religion (if such a thing exists) because any religion can be misinterpretted or used for evil if the wrong people get into positions of authority. Because of this, I have trouble deciphering what's actually part of the religion and what's just someone's interpretation of the religion. I've sort of come to my own understandings on some of the more important issues that aren't in line with any religion I'm aware of. They mainly take the form of conditional statements (for example, "If God is all good, and I try to be a good person, than that should be acceptable to God even if I'm not following an external set of rules that claim to be from God. If my internal set of rules are vastly different from God's set of rules, then I'm pretty much screwed anyway so I may as well do what I think is right.")
In a theology class I took, we read a passage from Justin Martyr in which he said that it's not merely claiming to be Christian that makes a person so. Rather, it's their actions that matter. He probably meant it as a way to distance himself from people who claimed to be Christian but did not follow the Christian ideals. However, in the class we had a really interesting discussion about whether people who acted in accord with Jesus' teachings were Christian even if they did not claim to be. This is one of the instances where I felt some reassurance in my belief that what matters is trying to be good, not going through the motions of being religious. Before I sound too negative, I just want to say that some people aren't just "going through the motions" and being religious really matters to them and helps them to be good people. I'm definitely in favor of that
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It's just not what works for me, at least for now.
I had one final point to make. I'm the sort of person who tries to examine everything before making a decision, but once I've made a decision I tend to go all the way supporting and defending it. That's one of the reasons I'm reluctant to commit myself to a particular religion. If I did, I might find myself in the position of defending everything about the religion, even some of the faults or ways in which it was misused. I don't ever want to do that. However, I do enjoy reading point-by-point discussions about these issues. Even if no one manages to convince me, there's usually at least one thing that sparks an idea and gets me thinking about what makes the most sense.