See the cosmological argument.
Basically, everything we see happens or exists for a reason. If you continue to follow that chain of causes back in time, you'll either keep going forever (if the universe has existed forever), or you'll reach some particularly special event which can exist without being caused by anything. Either option is in conflict with most people's intuition about causality.
(Personally, I'm perfectly comfortable with an infinite chain of causes, but many people aren't.)