Why does Faust sell his soul?

Faust is profoundly dissatisfied with his life. He's an astrologist and magician who yearns for knowledge, but he's frustrated by the very human limits placed upon the acquisition of that knowledge. He's also frustrated by the sheer lack of enjoyment in his life; he wants his existence on earth to be a pleasurable one. This brings him to the attention of the devil, or Mephistopheles as he's known in Goethe's play. He makes Faust a wager that he, Mephistopheles, will be able to satisfy his hunger for knowledge and pleasure. Faust is rather skeptical, to say the least, but nonetheless accepts the bet.
Contrary to popular belief, Faust does not actually sell his soul to the devil. But he does make a pact with him. And according to the terms of this pact Faust must agree to let Mephistopheles take his soul if he experiences a moment of such incredible joy that he'll want to live it forever. Faust does indeed experience just such a moment. He achieves a state of absolute bliss after revealing his plans to improve the lives of the king's subjects.
Mephistopheles sees his chance and tries to take Faust's soul, believing that this mere mortal has lost the bet. But thanks to the grace of God, the angels intervene and prevent Mephistopheles from grabbing what he believes is rightfully his. Faust's soul is borne up to heaven by the angels, and thanks to the intervention of the Virgin Mary, a reborn Faust himself soon follows suit, led to the celestial heights by his beloved Gretchen.