I almost always make a bee-line straight for Judiasm. That way I can get the better improvements early and still found a religion early enough to make good use of it through the game. I guess it all comes down to your playstyle, but I'm surprised to hear people saying religions are useless. They are anything but useless I've found, especially if you founded one other earlier religions, Christianity or earlier. Then you can put it to use generating not only culture and hapiness in your cities, but a fair amount of coin if you can manage to produce a Great Prophet soon enough after founding the religion. Founding a religion and then building the religions "Great Temple" and designating a Holy City can earn you an enormous amount of gold if you take the time to spread your religion.