But the question is: is it worth it? I don't think so?
The answer, like so many "answers" in Civ, is . . . it depends.
For example, lets say you have a Continents map, start with Myst, and none of your landmass-mates is particularly religious.
Yes, VERY worth it, since its likely you can leverage that religion to keep peace, and the AIs will likely spread it among their own cities themselves.
Lets say you are on a Pangaea, and Monty and Izzy are your neighbors.
Probably NO, as you will likely piss one of them off quite a bit. However, in this particular case, you can often use the religions as a method to get them to fight among themselves. Take the religion of the one you want to befriend, and bribe him into war with the other, since you will likely be "Pleased" and they will likely hate each other (I used those 2 as examples because they often found early religions themselves).
Also, you should try to qualify your question a bit. Is it worth it to found Buddhism, Hinduism or Judaism?
Probably not. Letting the AIs found the early religions tends to increase their chances of hating each other (something you actually WANT). If you found Buddhism, and there is another continent with 4 AIs that gets ONLY Hinduism, they are likely to be all friendly and buddy-buddy to each other, and they will out-tech you, hate you, and probably dogpile you.
Should you try to found Confucism? How about Taoism?
Sure, but be careful about switching to it right away. You can spread it among your own cities without actually accepting it as a State Religion. If you can spread it to a neighbor, and make it more popular in his land than any other religion, you can make a friend. Founding these religions means you were first to CoL and Philosophy, which are very strong trading techs.
At some point, you SHOULD accept a religion, either one you found, or one you got spread by a neighbor. OR, Pacifism and Theocracy are powerful civics. If you can manage to build or capture a Shrine, it will certainly be "worth it" if you can spread it around enough. There are many benefits to religions, if you happen to be in the religion of the AP you can get hammers from Temples and Monestaries. If you want to pursue Divine Right and try to build the Spiral Minaret you can get gold from your buildings. Paper is on the way to Lib, so if you have Stone you can shoot for the University of Sankore for a nice tech boost.
So now that I have totally confused you, let me try to simplify it a bit. What level do you play? What leaders do you prefer? What kind of map do you like? All these things factor into the "it depends" answer. But the bottom line is that Religion is a very very powerful tool in this game, and learning how to deal with the variety of situations that occur are important to raising your level of skill.