But yeah, if religions have different effects, I would be very very curious to what they are.
Eh, I guess I'll try to give very brief summaries:
Andeanism: Religon of the Incas. Increases science and commerce.
Asatru: Religion of the Vikings. Bonus to melee units and reduces war-weariness. Has neat wonders and a neat but limited unit.
Bahá'í: Some oddball religion from Persia. Increases culture. Rather weak.
Buddhism: Vanilla Civ4 religion. Increases culture. Way better than Bahá'í.
Christianity: About some guy named Chris. Increases happiness. Already taken, probably by Isabella.
Confucianism: Increases science.
Druidic Traditions: Increase health and gives bonuses to pre-gunpowder units. Extra benefits from various crops.
Hellenism: Increases culture.
Hinduism: Increases culture.
Islam: Increases happiness. Better wonders than Christianity.
Jainism: Similar to Hinduism. Very undeveloped and bland.
Judaism: Normal buildings weaker than christian ones, but wonders are better.
Kemetism: Religion of ancient Egypt. Increases culture. Has two neat units, but you can only build one of each at a time.
Mesopotamism: Religion of ancient Mesopotamia. Bonuses to pre-gunpowder units. Wonders are freaking awesome.
Mormonism: Buildings remove access to Tobacco, Coffe, Tea and Grapes. Not very impressive.
Naghualism: Religion of the Aztecs, Mayans and other such people. Average buildings, very good wonders, especially when running slavery.
Ngaiism: Religion centered around cows. Gives bonuses to pre-gunpowder units and extra benefits from livestock.
Scientology: Increases commerce by a lot.
Shamanism: Like druidism, but with animals instead of plants.
Shinto: Increases military unit production and reduces war weariness.
Sikhism: Branch of Hinduism. Increases unit experience, but is very undeveloped.
Taoism: Increases culture.
Tengriism: Religion of the mongols. Gives bonuses to mounted units.
Voodoo: Bonuses to commerce and production. Gets "zombies", ie Entranced Workers.
Yoruba: Religion of the Yoruba people. Increases culture.
Zoroastrianism: Religion of ancient Persia. Increases happiness; wonders are pretty swell.
Note that all religions increase culture and happiness, so the ones that I note as doing that do so more than others. And this list is not very accurate, anyway. I haven't played with most of these religions so I can't attest to their effectiveness.