Fantasy Religions: Help flesh out the universe, and interesting things can be done with them, since the deities can show that their presence is completely real. Other games, like Dragon Age, do it well by having a valid non-religious theory for The Maker's different miracles, such as the incredibly potent lyrium vein near Andraste's ashes. Though in a universe where people can come back from the dead, and demons often manifest in the physical realm, it seems like we should be able to get a definitive answer to this.
Real Life Religions: Like most "big issues" (racism, sexuality, abuse, etc.) this has the chance at making a huge difference in the game, and make the narrative that much more realistic and powerful... but if it's handled poorly it just seems hokey and forced, which in turn takes a lot away from the game. Though it works great as a background/historical element, like in the Total War games.
