You can spread their religion to get their religious buildings, if you have enough pressure from another religion (or they convert you) and they also have a religious building, you can get multiple religious buildings in your cities. If you're good at micro you can juggle multiple religions to get all of their buildings, and then choose the one you finally want to keep. This tactic can work well against the AI, they seem to love trying to convert you. In multiplayer it's not as reliable, but I managed to get Meeting Houses, and Synagogues. I wasn't able to get a religion, so I just let other players try and convert me.
One thing that mildly annoys me is if I don't get a religion, and then wipe out a player who has a religion, but hasn't unlocked all its beliefs, I can't finish it off by adopting it as my own religion.