Over at Pharyngula there is a post up ridiculing belief in demons entitled, "They really are that crazy." Although I don't believe in demons or other supernatural beings, I don't find belief in demons particularly crazy given other mainstream religious views. Almost all believers of various sorts believe in an invisible human soul or spirit that exists separate from the purely physical body. If you already believe in spirits, it isn't that great of a stretch to postulate disembodied spirits, some of which may be malevolent. After all, they are all invisible anyway.
Once you start with a foundation of certain irrational beliefs, other seemly more irrational beliefs are actually quite rational inside the bubble of that particular world-view. For example, let's suppose you really and absolutely believe that God created the world in six days. Unfortunately for you, if you are truly intellectually honest and educated, you realize that the evidence simply does not support your belief. But that's what you believe through faith, despite its irrationality. Given that worldview, it is not irrational to conclude that God must have faked the fossil record and made the universe appear older, just to test peoples' faith. You aren't denying the evidence, or pretending that it supports a six day creation, you are recognizing it that it doesn't and coming up with a reason why. You are reasoning inside the bubble of an existing irrational world-view.