1 Samuel 8:7
"... for they have not rejected you, but they have rejected Me from being king over them" (8:7). Israel had suffered under the dark times of the judges, and now Samuel's sons - supposed leaders - were rejecting God's ways. Israel didn't want to be simply "God's people" any longer; they wanted a king "like all the nations" (v5). They didn't realize what they would lose: some leaders are better than others but none can compare to God as King.
It makes sense to obey a King who made the universe, is all-powerful, and loves us enough to die for us.