What's really crazy is watching the AI send prophets at me, sometimes two at a time, and when I check the Religion screen I see that they haven't even enhanced their religion to get a full complement of beliefs!
If you have enough extra units (obsolete troops, Great Generals, etc) you can surround the Great Prophet and, depending on what the map looks like, you can "herd" them into a barbarian camp. Once they capture the Prophet you can defeat them and take it for yourself. If it has not spread religion yet you get a free Holy Site.
If it has already spread religion... it still may have some use. If you want to stir the pot and get a religious Civ to declare war on you, so you don't look like the bad guy, you can send those partially used Prophets into their territory. First zap their Holy City, then any others you can manage. This will really mess up their network of religious pressure and get them angry at you. Again, only do this if you
want to fight them eventually.
In my current G&K game as France I have corralled four or five Prophets and herded them into barbarian camps. I got two Holy Sites out of it. I founded Christianity and Russia founded Hinduism. We got along well until she sent two Great Prophets into my territory and converted Vienna while I wasn't looking (Austria got taken out early). This actually wasn't so bad since I could then buy a mosque for Vienna. I captured both her Prophets by the "herding" method. Later I retaliated by sending other captured Prophets (a Spanish Confucian one and a Dutch Jewish one) into her territory to mess up her religious heartland. Her border cities are already following my religion. She got mad and just declared war on me. Once I push back her initial force I will take her out - I'm going for a Domination victory. Oh well, she started it...