From the time she was young, Captain Cassidy heard promises of wonder. If she did this, or believed that, or avoided a long list of temptations, she would find herself smack in the middle of a world of wonder. She chased that promise from Catholic Maryland to Baptist Alabama to Waco Texas, finally landing in Pentecostalism—all the while waiting for wonder to materialize.

ROLL TO DISBELIEVE "Captain Cassidy" is Cassidy McGillicuddy, a Gen Xer and ex-Pentecostal. (The title is metaphorical.) She writes about the intersection of psychology, belief, popular culture, science,...