I think most people have a sense of the Divine, but how it is expressed is usually down to the family and culture they grow up in. Most of the time this is through the local religion, or religious community and this doesn't suit everyone.
When I was a visiting Pagan Chaplain at the local jails I met a lot of people who were brought up in spiritual systems that didn't suit them. They were fascinated when I explained how they could find one right for them and there was no 'ultimate system'. The idea of supplanting morals with standards was particularly popular with psychopaths, who just didn't 'get' morals, but could understand the idea of standards. They found 'I could do this, but chose not to' approach powerful and easier to follow than "x is wrong",
I've always compared different Spiritual paths to martial arts. You have the 'hard', approach systems "Don't think but do" which covers Fundamentalist Islam, Christianity, Ritual Magick, and Buddhism. The soft systems "Learn from the Divine, others, and your own experience" which Paganism, moderate Islam, Christianity, Ritual Magick, Buddhism, and Taoism tend to belong to. Finally the eclectic "use what works" systems; Shamanism, TechnoPagans, Psionics, Voodun, and Chaos Magick.
By no means a complete list, but it gives you some idea of this approach