I have written previous answers on the motivations and origins of the First Crusade, perhaps you might find the context useful.

Origins of Crusade

Justifications for the First Crusade

Frankly, religious piety seems to have been the main motivation for most crusaders. When this question comes up, there are invariably attempts to find an ulterior motive to explain why so many engaged in such a dangerous enterprise, usually appealing to economics. The pursuit of wealth does not seem to have been a widespread motivation, individual variation not withstanding. Crusading was a costly venture, a knight could expect to spend up to to 4 or 5 times his annual income, and few individuals returned to the West with improved fortunes. I am not aware of any contemporary text that appeals to the pursuit of wealth as motivation for Crusade.

Instead, rhetoric utilized in preaching the First Crusade couched the venture in terms of a pilgrimage, a wildly popular expression of faith in the medieval period, and stressed the obligation to defend Christians and Christian sites. Christianity was interwoven into the fabric of life in medieval Europe; pilgrimage, penance, saints' shrines, etc. were part and parcel of the medieval religious experience, and the opportunity to do penance at the mother of all pilgrimage sites must have been enticing to those burdened with religious zeal and obligation. It certainly seems to have been the case, given the overwhelmingly popular response (John Riley-Smith estimates ~135,000 -less than 10% of whom would have been aristocrats or knights- took up the cross between 1096 and 1101).

That being said, crusading could be politically expedient or could present an opportunity to improve one's reputation, but these are not exclusive to religious motivations, and considering the extent to which religion touched most aspects of social and political life, are not all that surprising.

There are many reasons, you can find accountings of Pope Urban's speech which is supposed to have triggered them.

http://legacy.fordham.edu/halsall/source/urban2a.html

I personally don't have a favored reason, but first I'm going to reword your question a bit: Why did the Crusade's happen?

the reason for this rewording is that "Europe" as a whole did not go on the crusade (it was only a handful of Dukes and less than 50,000 soldiers, mostly from France), nor was it joined by, it was created by the Europeans that chose to partake.

The Crusades are almost universally thought to have been started by Pope Urban II's speech where he called for Christians to help the Byzantine Emperor. So why did the Pope care about the Byzantine Emperor? At the time Seljuk Turks, who were Muslim, were threatening to destroy the Byzantine Empire, and the Emperor (Alexios I, I think) asked for help from the Pope, probably hoping for a smallish contigent of very high quality troops . Better a Heretic as a Neighbor than a Heathen so the Pope tried to help, but that leads into another reason. The Great Schism, the split between Roman Catholic and Eastern Orthodox churches, had only recently occurred in 1054 when the Pope called the Crusade in 1095. The Heretic title was new and the pope may been angling at a reforming a single christian church. Some sources also show the Crusades as an effort to remove excess forces and populations from Europe that were key drivers of the nearly ceaseless Medieval wars and raids. The Pope may well have been trying to remove excess soldiery from Europe, by sending them to the Near East, in an effort to bring Peace to Europe. If this is true it would make the Crusades one the most successful Machiavellian political power plays of all time.

Political forces and great men addressed, why would an individual embark on the Crusade? admittedly I know less on his part, but generally there was the promise of eternal salvation, a great amount of honor, and the perception of having more opportunity to move up. Kings didn't go (on the first crusade), they already had land, it was led by Dukes. now Dukes of course had land as well, but they stood to set up independent realms if they were successful, much better than being a vassal. Counts, Barons, Peasants and others likely saw similar opportunities to increase their standing in society. Many of the soldiers that accompanied were of course drawn by the promise of salvation, but many were also paid.

I am very unsure of any immigration that occurred after the successful conquest, but this may help reveal individuals motivations.

Pages 194-196 "The impulse for the Crusades" in Blockmans and Hoppenbrouwer's Introduction to Medieval Europe answer exactly this question. They write about Urban II's speech, the Pope's power to use the aristocracy, curbing acts of violence against bishops by knights, promotion of the Christian faith, defence of the faith, the Eastern Emperor's motives for joining and the 'deeply religious motives' of crusaders.

Essentially this is a period of reform and renewal for the church. They are able to make the clergy more assertive and powerful, kept the aristocracy under their control and were able to harness them (particularly the younger sons, with the First Crusade often being split into the People's Crusade and the Princes Crusade) to achieve expansion of the faith.

Chapter 6 of Blockmans and Hoppenbrouwers discusses this growth in Church power, summed up at the end; "The higher clergy's intellectual standards and growing self-awareness of their role led them to claim the liberty of the Church from lay interference. The clergy's strict observation of its own rules and purity strengthened their role as mediators between the sinful and God. From the end of the tenth century, the clergy became more assertive in imposing their norms on lay society, in the first place on the powerful aristocracy. They curbed the use of violence against unarmed people, and re-oriented it toward the expansion of Christianity. The consolidation of the Church's internal structures underpinned its high ambitions. The creation and rapid dissemination of the successive new types of monastic orders expressed and channelled the remarkable spiritual vitality of this period. Thanks to the greater effectiveness of preaching and spiritual care, the ordinary faithful became more actively and emotionally involved, which led to mass movements such as pilgrimages, crusades and the cult of relics. In the thirteenth century, the Church fought to keep control of its self-declared orthodoxy."

Their suggestions for further reading:

• Blumenthal, Uta-Renate. The Investiture Controversy: Church and Monarchy from the Ninth to the Twelfth Century

• Constable, Giles. The Reformation of the Twelfth Century, 2nd edn

• France, John. The Crusades and the Expansion of Catholic Christendom, 1000-1714

• Lawrence, C.H. The Friars: The Impact of the Early Mendicant Movement on Western Society

• Moore, R.I. The War on Heresy