I have just started watching the show within the last year and I must say, what early season episodes are you people watching?
Yes some of it is to just annoy the hell out of Beckette, but a lot of it is also what he believes in.
Keep watching.. in a later season he confirms this but nevertheless he is a guy who enjoys mystery a lot and made a career of it so naturally he'll jump at any chance and go overboard with his imagination.
I have seen most of the episodes within the last year, not just the last year of episodes.
But people here seem to feel that he has changed and the show is different than it used to. That in the beginning he was only doing the mystery thing to annoy Beckett but now that they are together he really believes in them.
My point is he always had believed in them because he is a mystery writer, he likes believing in the less likely cause for something because it makes for the best story, and I see no change in Castle's beliefs because he is a a relationship with Beckett now.