This article analyzes the applicability of rational choice theory to the choice of violent jihad as a way of life. What are jihadists driven by: sacred values or estimation of costs and benefits? Using the example of Dagestan as the most islamicized republic of the North Caucasus, the role of rational considerations is explored at two levels: first, in choosing Islamic fundamentalism among all available ideologies; second, in choosing between more moderate forms of Islamic fundamentalism and its more radical version that accepts and employs violence. The author concludes that rational considerations do not provide an exhaustive explanation of such a choice, but play an important role in making it.