Is it our Sin/Flesh nature?
Is it our eyes, do we see something more lovely than what God can give us?
Is it self justification that we seek in other gods? We simply follow a set of rules and then woalla we are justified and then can go on sinning and feel "good and justified" in our sin.
Why does God want us all to himself? Why is it a commandment to have no gods before him? Is he a jealous lover or does he just care for us that much, in that he feels that no one could possibly care for us or love us like he could?
Some food for thought: