There are all sorts of psychological reasons why people tend to believe that we have an immaterial soul that can somehow overcome the physical limitations of the body (think out-of-body experiences, misinterpretation of brain quirks and our tendency for promiscuous projection of agency, to say nothing of religious indoctrination).
When it comes to actual reasoned philosophical arguments, Descartes is, for the most part, still the man to go to, but as Professor Millican explains in this fascinating lecture (that explores the mind-body problem and the fallacies one can commit when trying to derive metaphysical conclusions from epistemological premises), that doesn't mean that substance dualism doesn't face some seriously problematic challenges...
Click here to see the class slides, and remember that the problems for substance dualism don't end there...