I guess it depends on the setting, but overall I would have to agree with Oddball that adding religions adds more intrique and other dynamics to your game. Why not have it if it opens up other sorts of adventures? I'm not speaking of forcing religion into every adventure, but it just seems like its yet another venue to explore. I wouldn't remove politics, criminal organizations, or military situations from my campaigns either, for example. Why limit your campaign, whether its SciFi, Modern, or Fantasy, to only one venue? Different situations each adventure are nice (not just military situations every time) and religion is a nice tool to be used sometimes, just don't over use it.