This is a question my children find themselves facing again and again. Being Jewish kids in Hungary gave them a well defined identity beyond the confusion of being Isrish/American in Hungary without ever having been to either Ireland or the USA.
Keeping the holidays, lighting the Shabbat candle, going to Hewbrew school were things that actually gave them a sense of belonging. Of course this sense of belonging also carries the weight of cca. 6000 years of history (more like 3500 years, but let's not get too hung up on numbers). It carries the weight of remembereing those six million perished in the Shoah (Holocaust) and ensuring it will never happen again. It carries the weight of remembering that one is a Jew and where his roots are, no matter where he lives.
Being a Jew is sometimes not easy. When Christmas and Easter are overrunning everything it is not easy. When you get reported to child protective services because you keep your kids home for the High Holidays (when "persecuted" Christians have their holidays declared national holidays and days off) it is not easy to be a Jew. When your kid first has to say no to a cheeseburger at their friend's party (if you keep kosher) and you have to explain to him why, it is not easy to be a Jew. When you get blamed for whatever goes wrong in the world solely because you are part of a group called Jews it is not easy to be a Jew.
But when you see the flicker of the Shabbat candle, you smell the scent of spices at Havdalah, or when your child's face radiates as he asks you the questions written in Hagaddah at the Seder table, it is wonderful to be a Jew.
But the one time when it is the best to be a Jew is when we sing our songs...