I can't agree with your observation that religiosity strongly negatively correlates with happiness.
With a worldwide data-set, however, we see that the happier nations tend to be those with fewer people reporting that religion is any or a significant part of their lives. It's a complicated picture, though; within a number of countries - particularly those with higher self-reported levels of religiosity - there is the opposite finding that the non-religious tend to be less happy than the religious, but people tend to be less happy overall.
Many of my fellow Christians are the happiest, most content people I know.
I'd suggest, however, that many of the Christians you know are living in a relatively peaceful, healthy, first-world situation and have fewer reasons to be unhappy with their lives - not none, but fewer.
The image of the guilt ridden Christian is far away from the norm in my lifetime experience of meeting thousands of very happy Christians.
I don't think it's about guilt, I think it's about having a life that's lacking and looking for something that will in some way make that 'alright' - such as this is only a prelude to something greater, this is suffering to 'earn' a better afterlife (I appreciate that the theology isn't necessarily that clear).
In the particularly religious countries the ostracism of being non-religious may be accounting for some of the unhappiness (and vice versa in the non-religious countries) and it's one of the other non-religious correlations (wealth, formal education, health and wellbeing) that's the factor that's causatively related to both happiness and religiosity.
Regardless of whether it's causative, though, the statistics suggest that if you're seeking to be happy then looking for religion isn't likely to be the solution, particularly in more affluent, healthier, better-educated parts of the world.
O.