I had known about it for a long while before I seriously began to consider it. It was when I was given a book for Christmas that I really started looking into it. It is "The Great Transformation" by Karen Armstrong and is all about the development of Religions in the Axial Age. It described Zarathustra and his reforms briefly before diverging on to Hinduism and saying no more on the subject. So I decided to research it for myself. At this point I was still a Torah-following, Kashrut-eating Messianic. I was always open to new information though, so I felt very comfortable reading about other Religions older than my own.
Something about Zarathustra and his God Ahuramazda stuck with me and I couldn't get it out of my head. This God seemed far more Good than Yahweh and didn't demand any stringent rule-following from his devotees. It seemed like a purer from of the Faith I was already following, but without the Bible and all the dubious things therein. The idea 'Does God Exist' didn't occur to me because I'd already come to the conclusion that something God-like does exist and I was perfectly happy with that. So I started researching the Religion more and it struck a chord with me, despite my attempts to resist and follow my God, Yahweh and his Messiah, Yeshua. (I still have a soft spot for Yeshua).
It was useless and so I decided to "give it a go". Dropping the Torah made me sad and I still eat Kosher. However, it felt good not to have to defend things like killing someone for not keeping Shabbat, or making a female marry the man who forced himself on her &c. At the same time I was also attracted to Vaisnava Hinduism (and as my Hindu friends may know, bought the Srimad Bhagavatam).
This Faith just seemed right. It resonated with me and the mantra "Good Thoughts Good Words, Good Deeds" seemed a damn sight better than "An eye for an eye". I am still learning and opened this thread just as much for my benefit as yours, so I could learn as I went.