As most things in BNW, it depends. I go for founding a religion if I have a civ that gets bonus faith (Celts, Maya, Ethiopia, Spain often), has a Temple UB (Egypt, Songhai), or another religion related benefit (Byzantium, Arabia). Other than that I would need an attractive terrain Pantheon (Wine tends to be specially good, typically lots around and Monasteries are nice) or a Faith bonus from a Natural Wonder, city state or goodie hut. Would err on the side of not founding with Venice and Indonesia.