I actually love learning about religions in video games, it's usually such a cool detail and really adds to the lore of games. While I don't think I'd personally want to join any one religion, I definitely appreciate stories behind them. Like Yevon! It was such a fascinating aspect of FFX.
Do cults count? One of my favorite 'religions' from a game is probably the Dark Brotherhood - yes, they're an assassin's cult but they do worship the Night Mother like a deity. Actually, a lot of the gods and Daedric Princes from Elder Scrolls are just really interesting.