Religion is important, but you don't have to found one. There are advantages to not having a state religion and having a lot of religions spread to each of your cities. These advantages include: diplomatic (no "heathen religion" anger), cultural (if there is no state religion you get culture from each religion in your cities, and you can build temples and catherdrals for each religion), and even scientific (getting four or five monastaries in a science city can reallllly boost your scientific efforts).