Gray Blades chapels just have shrines for anyone to pray at, since the mercs are from many walks of life. Even the non-religious ones like to go just for good luck.
Oceanians worship the Tide, literally the movement of the ocean, and they have seers who base their prophesies on how it and the life within it behaves. Their people and especially their knights also grow up praying to the Tide, and they're all quite pious, but there isn't really such a thing as 'heresy' and they have no political influence or rank. The Church of the Tide (just The Church to most people) are the big boys on the block, so to speak. They've got representation in every nation, excepting Kiltra.
Litelachians have many gods, all relating to the woods and forest. Each individual person chooses what he worships in particular, but most only pray on occasion. There are several cults who fervently seek to appease particularly important aspects of the forest, such as the Servants of the Oak and the Bear Tribe, and they're generally nuts and high on herbs and their own religion. Everybody pretty much avoids them when they can. The, for lack of a better word, default object of worship is the Grass, for reasons even the Litelachians own historians aren't even aware of.
The Varen Confederation has a decent following of the Tide, but most people worship the Parent Gods, Cane and Vora, the alleged founders of the Confederation more than a thousand years ago. They have not churches but statues where people lay offerings. There will always be at least one statue of them in every Varen settlement, and it is tradition that it be the first structure erected whenever a town is founded. Any town that does not do so is cursed, doomed to fail within the first year. As the towns are built around the statue it gives nearly all Varen towns a common layout, and they are all nearly identical.
The Kiltrans have three gods. Fafnorn, lord of the mountains, Holito, master of wealth, life and death, and Jovakt, guardian of the sky. The Kiltrans have keepers who appease each of these gods through sacrifice. Craftsmen appeal to Fafnorn to heat their forges and shape the metal, Holito is thanked upon the birth of new life and damned when he takes it back to repay his debt, and Jovakt receives the prayers for safe journeys and calm borders. You get the idea.