Am I the only one that questions my religion?

I'm Jewish, I like my religion and follow it, but at the same time, I question some of its teachings because they just do not make sense to me. And I think I'm a better person for doing so, because I'm demonstrating free will and independent thought to make my own conclusions about what I believe. But I feel like most people are lemmings and follow their religion with absolutely no questions asked. Jesus walked on water? Moses parted the Red Sea? There are some parts of religious stories that are just too out there to not be exaggerated. Why do I feel like the only one that feels its okay, to think about these things and say "this has to be somewhat exaggerated"?