Religion tends to come up in In Nomine, for some strange and inscrutable reason, so here are some notes on it within the R&D setting.
While religions are certainly related to God and the celestial realm, the relationship is not clear-cut.
A Short History of Religion[]
Religion channels Essence towards those being worshipped. This is how ethereal-plane spirits historically made the leap from dream-figments or abstract ideas to powerful gods and goddesses. Some Essence also flows to Heaven (or, occasionally, Hell). It's hard to trace the flow of Essence accurately, although Superiors may get "hunches" about where the Essence is coming in from. For some reason, worship of a figure like Jesus does not generate an ethereal Jesus-deity: worship of any figure of a "divine" religion posts the Essence towards Heaven instead. (There are two baffling exceptions, one of them quite large: Hinduism and Haitian Vodou both clearly seem to direct Essence to Heaven, but there are also very powerful Ethereal spirits derived from Hindu worship, and somewhat less powerful, but still impressive, loa who derive their power from the worship of Vodouisants.)
In the past, some ethereal beings gained enormous power, sometimes nearly enough to challenge Archangels, via the worship of their faithful. This started to worry Heaven. Their solution, implemented around the 19th century BC, was to create a religion (Judaism) centered around the worship of God. The bearers of this religion were allowed to (quite often helped to) rampage through their neighbors' territory and conquer them, spreading monotheism and choking off the flow of Essence to these other deities. To be certain, it was a partial fix only, being inherently limited in geographic scope, but it helped avert a crisis.
This strategem was extended with the rise of Christianity and Islam, aggressively-expanding Heaven-supported religions that began the decline of the ethereals. This "decline" turned into a free-fall in the 8th century AD, when Uriel, Archangel of Purity, began the Purity Crusade. Uriel's angels actively hunted down and destroyed ethereal gods and mythical creatures, as well as mortals committed to the ethereal cause. At its apex, this Crusade had legions of angels sweeping through the Marches slaughtering just about anything they found. At this point, protest turned to prosecution, and Uriel was brought before the Seraphim Council. God intervened, recalling Uriel to the Higher Heavens. The damage was done, however: ever since, the role of ethereals has been sharply curtailed.
Specific Religions[]
Here are links to some notes on specific religions, along with their histories and role in the the War.