I always customize my religion to match the civ I'm playing as. You want to choose beliefs that make it easier for your civ to do what they do.
Since my default civ is Arabia, I'll use them as an example:
Follower Belief
Choice 1: Divine Inspiration
Arabia gets science from spreading their religion, but they need faith to spread their religion, so any belief that generates more faith is good for them.
Choice 2: Reliquaries
This is a good belief for the same reason as above. However, it's my second choice because acquiring relics is a little more involved than building wonders.
Choice 3: Religious Community
Arabia has no housing bonuses and tends to hit their population caps early. This belief can help you avoid that problem by constructing two buildings that you were almost certainly going to build in every every city anyway.
Avoid: Jesuit Education
This is a very good belief for some civs, but bad for Arabia. If you're spending faith on buildings, that means you have less faith to spend on religious units, and when you're Arabia, you should always be spending faith on religious units.
Avoid: Warrior Monks
For the same reason as above. This belief is designed as a faith-sink. Good for some, but not for a civ that has something even better to spend faith on.
Avoid: Feed the World
This is a strong belief for any civ with a housing bonus, but for everyone else, it just means hitting your population cap sooner.
Avoid: Zen Meditation
Arabia is not a militaristically aggressive civilization, so war weariness will rarely be an issue. That extra amenity would just be wasted on cities that are already happy.
Worship Belief
Choice 1: Mosques
Easily the best worship building for any civ that intends to be religiously aggressive. That extra charge will save you loads of faith in the long run, especially if you can also get a few early golden ages and build the Hagia Sophia.
Choice 2: Dar-e Mahrs
Alternatively, you can just generate more faith directly. Make sure to protect your holy sites from barbarians and natural disasters!
Choice 3: Synagogues
Doesn't generate as much faith as dar-e mahrs, but it's better than nothing.
Avoid: Gurdwaras
Again, civs without a housing bonus will just hit their cap if they have too much food.
Avoid: Cathedrals
Arabia lacks both the ability and the motive to generate lots of great artists. Those slots will just end up going empty.
Avoid: Stupas
Again, war weariness is not a problem for peaceful civilizations, so amenity bonuses are wasted on them.
Founder Belief
Choice 1: Papal Primacy
This belief is useless for anyone except Arabia and Georgia, but amazing for those civilizations. It allows you to spread your religion in a way that doesn't cost any faith, which is rare.
Choice 2: Pilgrimage
This belief lets religious units pay for themselves over time. A good alternative in the unlikely event that papal primacy has already been chosen.
Choice 3: Lay Ministry
Arguably better than pilgrimage if you end up going very wide, but not as good for Arabia since they don't have as much reason to expand as many other civs.
Enhancer Belief
Choice 1: Missionary Zeal
I like to play on huge maps, so this belief allows my religious units to zip around the world with ease. Also good for setting up theological combat ambushes.
Choice 2: Holy Order
Even better than missionary zeal on smaller maps, and a good second choice on any map.
Choice 3: Scripture
This belief will make it harder for a rival religion to convert a densely packed group of cities.
Avoid: Crusade
You want to choose an enhancer belief that helps you spread your religion, which is most of them. This belief is better for aggressive civs that don't really care about converting anyone other than their next target.
Avoid: Defender of the Faith
Despite being named after Saladin himself, this isn't a great choice for Arabia for the same reason as the one above.
Avoid: Burial Grounds
Even though you're going to be building many holy sites, this belief doesn't really help you spread your religion either (unless you're playing as Poland), so there are much better enhancer beliefs to choose.