I'll throw my opinion in. Before Orthodoxy, I was basically agnostic (maybe slightly athiest too), after growing up Baptist (evangelical Christianity to me never really made any sense - their entire basis for believing they're the true faith is irrational). But, due to some experiences I had, still believed there maybe there was a god(s).
So I studied human history, trying to understand why people believed (and still do) in God, and I studied many religions, both ancient and current. I spent a ton of time (literally years) studying ancient Egyptian and Sumerian religions (and all the other religious systems that are based on them), Zoroastrianism, Jainism and Hinduism, Taoism, Buddhism, Judaism, Islam, etc... And it's true, they all have some truths, those people didn't come to believe what they did by accident, or some acid trip. But all those religions are lacking.
They're all looking for something, but can't achieve it. Most of these ancient religions understood that they can't achieve immortality, the best they can hope for is a gloomy underworld or maybe breaking the cycle of reincarnation... (edit - you look at the spread of early Christianity, and most of the early Christians came from Egyptian, Sumerian/Mesopotamian, Greek/Roman, and some Vedic traditions - as well as Judaism of course)
Another thing I noticed is that all of these religions degenerate... They start out with belief in one or a few gods, and eventually end up with thousands. They start out with firm beliefs, then become syncretic and confusing. In the end, you get a mess of ancestor and idol worship, endless mythologies, and whatever truth they did contain gets buried under their lies...
Anyhow, eventually, through much research, I ended up at Orthodox Christianity (which I researched for half a year before even stepping foot in a church). In my mind, it really is the only religion that offers any hope for mankind. And in my mind, is the truth. As someone else said, there's no such thing as relative truth.
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As for the topic of whether or not it's good to study other religions, I think it depends on the person. Some people are too easily influenced every time they learn something new, so for them it's counter productive, and leads to confusion. In my case, I definitely am glad to have researched so many religions, gave me a better understanding of human history in general, and now there's really no doubt in my mind of the truthfullness of Orthodox Christianity. Knowing how Christianity fits into human history, knowing how and why pagan religions developped as they did, in my opinion, is worthwhile knowledge.