I'm not looking for a religious discussion. If someone starts one, I will rip your face off and block your comments.
1. How involved a deity is affects religion. At least in fantasy, anyway. Now of course there are plenty of fantasy religions that don't bother to clear up whether a god actually exists, and the driving elements of the story or more about religion and power rather than spirituality. So considering whether god or gods actually really do exist at all in your story is a perfectly cromulent question. However, if a god does exist, and is constantly involved in the lives and well-being of its worshipers, enemies or non-believers might think twice before some serious smiting ensues. For that matter, followers of an attentive god might watch their mouths. (Look at the Greek Gods and what they did for slights!) A god may be protective, but that doesn't necessarily mean benevolent. In fact, a god or gods may have the attitude of "No one messes with my people but me!" Ancestors and spirits may replace a full-on deity, but how involved they are with the real world still needs to be addressed. (I think that Starclan from the Warriors cat series might as well not be there at all, since they are never helpful and at times downright deliberately confusing and obstructive. The overthrow of them would make for the best Japanese RPG ever, though. Get on that, Warrior fanfiction people, I'm throwing you a bone, here.) If a god is distant, and never involved, it obviously leaves more room for interpretations, like popes and priests. Often there are magical quotas for gods, that by worshiping a god one gains particular magics or some other boon. If this is so, pay attention to what that god likes and what it wouldn't tolerate. (If a god likes babies, for example, and your character accidentally kills one, I'm going to take issue when the god pats him on the shoulder and says, "Eh, that's okay, buddy.") Very few people like the full-on attention of gods. Heroes tend to have miserable lives, ditto prophets and martyrs. A god nitpicking all the time creates a tyrannical heaven, especially if they're petty. The angle of gods sneering at poor, pathetic humanity has kind of been done to death; sometimes I wonder how people would behave towards a god that could care less if it was worshiped, or even gods that are at mercy of mankind like in Princess Mononoke. That also begs the question of whether a god or supernatural being needs worshipers in the first place, because that at least can give mankind some pull. Gods may well operate on their own level of rules, and be forbidden from directly interfering with the mortal realm because it creates chaos. Indirect contact from the gods is another grey area that can be misinterpreted, even usurped by false prophets. Of course, the definition of what a god even is opens up all kinds of thematic ruminations (again, Japanese RPGs might kill god all the time, but the argument could be made that the god killed is not God god or what have you, just a super-powerful denizen.) Either way, the role of gods as watchers, judges, or directors of fates needs to be established, even if they don't play a major role in the story.
2. What is exchanged for religion needs to be addressed. Religion either forms or is an extension of morals and ethics, especially in primitive societies. It is often the first attempt of mankind to make sense of that which makes no sense. While myths are the first science, often attempting to explain phenomenon as-yet undiscovered, religion and spirituality attempts to answer the questions science never can. Do people pray just to exalt their god or gods, and obey heavenly laws in the hopes of being granted a reward? Or do characters pray for power, for magic, or other favors? And which ones do the gods agree to? Why does the religion exist in the first place? Many times, religion strikes a chord by addressing the major problems people have. If you are a warrior whose livelihood depends on not dying in battle, you're probably not going to be thrilled at praying to some namby-pamby god of peace. You've got to get the attention of the not-dying-in-war god! Honoring one's ancestors might be important for obtaining past histories, or even so one can be welcomed as a proper family member when one dies and joins the spirits on the other side. Note that the reality of these things existing is not as important as the beliefs they instill: odds are, to your characters, the god or gods exist. I also have to point out that if miracles like smiting and the like occur, that's gonna do an awful lot for convincing people the god or gods are real (provided the miracle is specific enough, but again: false prophets can jump all over that.) If there are multiple gods fighting over worshipers, things would definitely get interesting. People usually embrace religion because it fulfills a need. Note that this is not necessarily the presence of a comforting deity, but may well be allowing one to become a part of the community surrounding that religion. You might all be headed to be circumcised and dance in a drum circle, but damn, you're part of something bigger than yourself!
3. Environment and cultural values affects religion. People in the desert might worship rain. But then again, people in a river valley might, too, because the annual river flooding means their crops are good this year. However, in the desert, I bet the storm god is always a good guy, while in the river valley, the storm god has a reputation for being wrathful if he's not appeased. An abundant agricultural society might put gods of fertility and crops first, while a nomadic warrior tribe might value a god of war. What the society values as ethical is influenced by AND influences religion. When mankind is living-hand-to-mouth, expect to see a lot of tribal totems, polytheism, and morals that make no scruples about killing. The less time spent worrying about a full belly is more time to contemplate one's navel. To put it another way, civilization and morality only goes as far as one's ability to eat. Talk to anyone who has known real hunger. Day three, you might be willing to steal and break a law you'd never conceived of breaking. Day five, you might be willing to kill. A society facing this constantly would have a god, a belief system, or a set of mores that are okay with this. Conversely, a society where hand-to-mouth is not a reality for the majority would shake a finger at such primitive behavior. Having said all that, there's nothing worse than a slap-dash religion that makes no sense within the context of the established civilization. I have to invoke Paolini's "Religion of Ebul" here for a second, with the priests cutting their limbs off just cause. I don't wanna say no one would join that religion, because there's always someone desperate and sad enough to joint the most obvious idiot-cult, but cutting one's limbs off serves no purpose in the world as Paolini has presented it. You'd be useless to your society in just about every sense of the word, and religion, largely, is about making connections within society. Please realize that while belief systems can influence and control society, they can't utterly gum up the works of society's operations, because when they do, people tend to do two things: rebel (Henry the 8th, Lutherans, Protestants, Puritans) or become fundamental (the Spanish Inquisition). The medieval churches of Europe grew crops and bred dogs and had a lot of economic power. They were useful in other ways to society aside from just the whole "Yay God!" thing, and a believable fantasy religion takes this into account.
4. The role of ritual is one of the most important. Ritual is a huge, huge thing in human lives. Lack of ritual almost always guarantees a lack of civilization. Rituals reflect or symbolize what the society holds as important, what a culture values. That is why judges wear black robes, why there are ceremonies for inaugurations or military awards, and why we have funerals. For example, a society that promotes death as the most meaningful act ever, one more meaningful than birth or marriage or anything else, is probably going to have warriors sculpted in ritual to believe that with every ounce of their being (and will probably make you wet yourself.) If you like life, but it's meaningless to them, would you wanna face a warrior of theirs? How about a thousand of them? Rituals of birth, coming of age, courtship, bonding, and death exist in just about every culture. Disregarding a ritual or doing it wrong can be quite the faux pas, especially if cultures are colliding. (Throw vengeful opposing gods into the mix and watch the sparks fly.) Depending on how stringent that culture is, it could mean exile or even death (blasphemy laws in Pakistan carry the death sentence, for example.) Modern day disregarding of ritual in say, dating (courtship) might not be that big a deal. But try spitting on a coffin at a funeral, and someone's head is gonna roll. A friend told me once that the surest sign of a society on the brink of collapse is a society that tolerates everything. Rituals dictate what society tolerates. As creatures of habit, we like rituals. They are comforting, and can be personal habits or hugely communal events. Ritual gives significance to the insignificant. They are the infrastructure of a society, the software of our brains; they can change, but if they crumble altogether, everyone's in trouble. Ritual is heavily tied to what defines a culture's values and morals, and surest way to become outcast or insult someone is to screw with their rituals. If a god is involved, and says "Do these rituals right or I'll smite you" the pressure gets even worse. For more on the role of ritual and its resonation in religion and culture, I highly recommend The Power of Myth by Joseph Campbell.
5. Religion is highly structured, so don't be stupid about it. Fantasy religions can kind of say anything; you just have to be consistent about the message. If you've taken the time to establish that the Sky God says don't touch a woman until she's married to you, and you have rituals that constantly reinforce this message, and everyone who considers themselves upright moral citizens agrees that not touching women is the fair and right thing to do: don't have an ethically-minded hero touch an unmarried woman and not think twice about it. Or, have an unscrupulous bastard do it and not get in trouble when someone catches him. There'd better be some punishment on the way. Otherwise, why'd you bother telling us Sky God no likee the touching? Also be aware of iterations within the taboo. Is an accidental touch or the brushing of fingertips just as bad as full on canoodling? Because if so, that tells us a lot about the society, especially if it involves a rich noblewoman/chief's daughter versus a peasant girl. Conversely, if a guy kisses a girl and is subjected to three days blackballing, that says a lot, too. (Blackballing is one of the most incredibly hurtful and powerful tools a primitive culture has at its disposal.) Taboos within religion trickle into secular life as well. The biggest offense fantasy religion tends to do is take all this time to establish religion, and then not make it matter one bit outside of the church/synagogue/mosque walls. Religion and spirituality are powerful, powerful forces, because they affect beliefs. If people in the real world can blow themselves up or set themselves on fire because they believe a spiritual text, what the hell do you think could happen in a fantasy world where magic and dragons and gods might have the same spirit of conviction?