A note: Religions allow:
Temples (you know what these are)
Disciples (units that are upgraded missionaries and have medic promotions as well as limited spellbooks of varying strength)
Non-disciple generic units (these are spammable units that do all sorts of different things)
Heroes (one of a kind units that cost a lot and kick ass, multiple empires with the same state religion must race to these as only one can have them)
I'd order them like so:
Octopus Overlords: Available early, best culture bonuses, best heroes, allows the Globe Theatre clone, and a good midgame generic unit. What's not to like? The early generic unit kinda sucks though.
Council of Esus: Slave trade = insanely fast rushbuying of wonders and buildings. No diplo penalties = it's easy to make friends. Ability to declare war without getting your units expelled from the victim's borders = easy way to get rid of someone you're sick of. It's insanely easy to spread since unlike other missionaries, Esus "missionaries" don't sacrifice themselves to spread their religion. Lacks temples and generic units, though, and its one hero isn't that good.
Empyrean: The Ratha is the best generic unit in the game. 4 move + the ability to paralyze an entire stack, and it can be spammed? YES PLEASE. Good hero too. Empyrean has little to offer a builder, but provides so much in a fight as to be worth it.
Order: Basically becomes State Property + normal religious benefits in the lategame. Before that point, though, all it has is a decent hero (Valin) and ease of spreading (when order missionaries spread their religion to a city belonging to an empire that has order as its state religion, that city spawns a free missionary.) Not really worth it unless you like playing for the lategame.
Fellowship of leaves: +1 food in all forests, and gives you some extra health options to make use of it (though the opportunity costs are high.) Their hero Yvain rapes, but doesn't show up for a long time. This religion, like order, shines late. Early, happiness caps are too tight for the food bonus to be that great. Late, the caps go into the 30s and the food helps a lot. I rank Order higher because its disciples are better.
Ashen Veil: Allows the best civic in the game (Sacrifice the weak) and respectable disciples. Has nothing else going for it (meh hero, crappy temples, a gimped holy shrine) and has a HUGE drawback: It raises the armageddon counter, which has a ton of nasty side effects. It might be worth it to found it so that it doesn't spread, thus controlling armageddon, but... don't take this as your state religion. Seriously, don't.
And the bizarre outlier:
Runes of Kilmorph: Grants you lots of extra gold. Heroes are terrible, but disciples and generic units are great. Allows your mines to produce one extra hammer apiece with a certain civic. The drawback? It's the only religion which gives you NO CULTURE. This religion is great for creative leaders (the drawback means squat to them), and ranks above only ashen veil for everyone else.