I recognized this concept long before I knew what it was called. A sunk cost is actually a kind of logical fallacy. Simply stated, the cost of a thing does not dictate the value of a thing.
Consider an example. I am a millionaire and have invested $20 million to build a power plant. At this juncture, it will cost another $10 million to complete. However, during the time we've spent building the current facility, new and more cost effective designs have been developed such that it would only cost $5 million to bulldoze what we've already done and build a new facility from scratch. The logical fallacy in play here is the idea that the $20 that has already been spent should be factored into a future decision.
This can also happen with scams. If you attend a class that is supposed to teach you how to make money, you are much more likely to rate the class as helpful/beneficial as the cost of the class increases. This is because as the price goes up, you're more likely to think "for that price, it better damn well be worth it!" This is because it plays into the common cognitive bias of loss aversion. That is, if the class was worthless and I spent no money, I have no problem calling it worthless. If the class was worthless and I spent several thousand dollars on it, it had better be worth it or I've lost several thousand dollars.
The fun part is that people who are on the outside looking in at those who have invested assign value to a thing if it seems like others are. In the scam example, it can be exemplified by thinking "it must be worth it, otherwise they couldn't get away with charging that much." However, when you consider that the people who have paid are falling prey to the sunk cost fallacy, you can see how the perceived value of the program may be inflated significantly just by inflating the price.
How does this apply to the God Hypothesis?
Think about all the time, effort, emotion and money that has been invested by the average adherent. If god(s) do not exist, then it was all for nothing. I will admit that this was a pretty big deal for me when I left Christianity. I had tried so hard to be a good Christian. I studied my bible quite diligently because I wanted to be close to god and know the truth. I ran towards god as hard as I could. I studied, I prayed, I went on mission trips and camp retreats. When my studies continued to do nothing but increase my doubts, I became quite distressed but I pressed on. I studied even harder, assuming the truth was just around the corner. When I finally realized that I could no longer justify a belief in god(s), I felt an extreme sense of loss. This god that I had known for so long, who watched over me, cared about me and communicated to me through random little coincidences had evaporated and I had spent all that time talking to myself. I had wasted all that time chasing a figment of my imagination.
It was rough, but I picked myself up rather quickly. I realized that my struggle for the truth had actually been successful, that my journey wasn't for nothing. I didn't get the results I expected, but I did get what I was after, the truth. Of course that truth is that we have no way of knowing if a vague deistic god exists and we can actually be pretty sure that specific conceptions of god(s) cannot exist.
The problem then becomes, why haven't other people been able to do this? It's tough to say, but I have seen highly intelligent people, far more intelligent than myself, who are accomplished philosophers that understand that there is no rational justification for the belief in god (and will even say so). They understand that it all boils down to faith. They've worked so hard trying to sort out and justify the god hypothesis that they can't let it go. In the end they still believe, despite the fact that not only does no evidence support their position, but quite a bit of evidence may run counter to their position. Why? Because they want god to exist, otherwise they've wasted their efforts, their emotional commitment, their time, their careers, and even their lives. To them, the idea of god(s) are at least as valuable as the amount they've invested in those ideas.
The problem is, no matter how much anyone has invested in the god hypothesis, it does not change the fact that it is a worthless idea.