I admit, I really enjoyed The Excorcism of Emily Rose, but The Reaping annoyed me because it was obviously attempting to "warn" us atheists that we're bringing the apocalypse with our evil and sin and shit. I also didn't like Drag me to Hell, but simply because I didn't like the plot. Those are the only particularly religious films I've seen.
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.