Drag Me To Hell, Kingdom of Heaven and The Order are probably my favorite religious films.
Drag Me to hell- Well...for obvious Raimi badassery, along with the Lamia story. The talking goat part was the best. XD
Kingdom of Heaven made a pretty decent statement about religion, and is actually quite anti-religious.
The Order is slightly different from normal exorcism movies, as it focuses more on the priest and the demons he encounters with his suicidal love.
I personally don't mind religious films, as long as it's thought provoking or macabre.
Oh, and Jesus Camp. That was fucking scary, and not in a good way.