Although his name has been mentioned above, no one has actually detailed Soren Kierkegaard's Existentialist philosophy regarding Christianity. I am basing my summary of it on information in the book From Socrates to Sartre: The Philosophic Quest; I haven't actually read any of his writing yet. Anyway, here goes:
Kierkegaard believed that human life is not designed for pleasure- yet humans spend their entire lives striving for happiness in order to escape anxiety, depression, and despair. The anxiety experienced by humanity is a result of the fear of the nothingness of human existence. It is this idea that makes him the "father" of existentialism. He goes on to demonstrate in Either/Or, A Fragment of Life (1843) that material posessions and earthly prestige do little to assuage this feeling of anxiety.
The way to truly overcome despair, Kierkegaard advises, is to embrace despair willingly, to sink deep into it, to loose all commitment to other human beings, to lose all connection to earthly institutions, to lose all your morals, to divorce yourself from reason. At this lowest point, "at the edge of the abyss," you will be prepared to take the "leap of faith" in God. Kierkegaard believed that faith in God and unquestioning compliance with orthodox Christianity was the only an individual could come to terms with the apparent meaninglessness of his existence.
Crazy? Maybe. But Kierkegaard's philosophy is probably one of the most honest and vivid descriptions of why a certain individual would turn to Christianity to give meaning to his entire existence. This method, of course, is extremely frightening to most people, and hasn't ever really caught on in the Christian community, as far as I know. It is, however, a compelling insight into the soul of a brilliant and depressed man.