If you were ever curious about about the religious affiliations of your favorite superheroes, the definitive page:
The Religious Affiliations of Comic Book Characters
(HT: Lee, who 'bah's because the Lutherans only get Jimmy Olsen. Silly Lutherans; superpowers are for Catholics. And Jews, apparently.)
Of course, the most awesome of the religiously devout superheroes is good ol' Fuzzy Blue. The coolest superhero who isn't religious, but who regularly struggles with religious questions, is Wolverine.