Joseph risked the stigma of being associated with a "criminal" and the loss of community respect that could follow such an accusation.

He was willing to do it because he must have believed that Jesus was the Messiah.

Jesus felt misery, death and loneliness - dying alone and humiliated.  It would be more shocking if He didn't say something like this.

Sometimes Scriptures act as a way to pray when there doesn't seem to be any words available.  The Psalms are especially good for this since they cover such a wide range of emotion - from praise to despair.

He also teaches us, even with this statement, since sometimes we feel left abandoned by God (like when life isn't going as we planned).