JWs are good at convincing them that following god is hard, and therefore if they feel that they are suffering hardships then they must be doing what god wants for them to do. And as previous posters have mentioned quite often they don't know all the restrictions until they are already far along in their studies. I believe freeminds had an article on how once people have suffered for a belief they are less likely to give it up. There is the whole narrowed and cramped road leading to life with few finding it thing as well, after all JWs like quoting the 6 million to 6 billion ratio.
Sometimes too someone they love converts like a spouse or family member and they join in order to still be able to associate with these ones. After all it is the jw who falsely claims to have unconditional love.