I play on noble, so I usually choose a spiritual civ. I take budhism, and then try for hinduism (which I get 50% of the time.) Then I go directly for monotheism (judiasm.) Get priesthood. Then research writing as I build the oracle. Once the oracle is complete I take CoL (Confucianism.) I then use the Great Prophet I usually get by now to get theology (Christianity.) If I'm high enough on the power graph that getting attacked is a low chance, I usually go for Philosophy (Tasoism) and use the second (or third, I may use one before to get beuracry) Great Prophet to get Divine Right (Islam.) And that my friends is how you can capture all religions (on Noble or lower.)
But, my favorite religion is Islam, because Divine Right allows me to build the Spiral Minaret which always helps my economy.