I usually reach Buddhism, Hinduism, Judaism and Christianity ALL first of all civs in my games now and I play on Prince.
In one game I even got all religions except Islam, but noone else had Islam either, just that my neighbours crushed me military wise since I was not very powerful.
Having many religions was much more powerful then I first imagined when I started playing. It gives u much higher control over how much culture you can get, money income gets increased if you have the holy cities, etc.
How do I get almost all the religions you ask? Well, I start by researching Meditation, I aim for as much wealth as possible in the cities and dismiss any production at first and prioritize growth and gold. Immediatelly after I research Polytheism, and maximize gold for research in town. Dont mind production still. And after that I go straight for Monotheism, unless I really need some tech to improve my surroundings. If you get Polytheism first, you usually get Monotheism first aswell if you go for it.
Once I get Monotheism I go for worker related techs depending on my surroundings, I make a worker and then a settler if I havnt already, and I build the Stonehenge, and then I go for Priesthood and go for Writing. I Build the Oracle and take Theology and get Christianity.
Now its also possible to get confucianism if you have enough gold output, usually you have to build a Library or two before that is a viable tech to research though. It really helps to have Gold resource within city radius or a coastal start with a finacial civ for research speed.
If you get Both christianity and confucianism first of all, you can usually get Philosophy and Taoism first aswell.
And if you do, you can probably get Divine Right and Islam first of all aswell.
Having many religions means power, wealth, happiness and culture. You can build many temples and monestaries and many of those +50% Culture buildings (Cathedrals etc) that are VERY important for the Cultural victory that has become my favourite way to win in Civ4 atm.
When I play like this I always end up with a lack of military units though, so its important to watch out for aggressive opponents, and try to build up defenses when you can.