I prefer to catch as many religions as possible and build possibly all their Wonders, but my "must have" ones are:
Mesopotamism: especially for Hammurabi Steele of Laws (free Courthouses in each city long before CoL), Apadana Palace and non-GW temples in my main military city (free promotions and XP).
Zaratustrianism: excellent Wonders; the best of them is (IIRC) Seti Pir: -50% upgrade cost, free Morale for most units.
Christianity: King Richard's Crusade is a must in my main military city.
Hellenism: excellent Great Wonders, Monastery gives Pankration (+5% strength, -20% upgrade cost).
Lower in priority: Hinduism, Buddhism, Confucianism, Taoism, Shinto, Kemetism, Judaism, Islam, Naghualism, Andeanism, Asartu (very nice Great and Small Wonders and other buildings), Tengri (excellent for mounted units) and Shamanism (1/3 cities with no pollution from buildings and free Hillsman I, 1/9 cities with free Woodsman I and more GP).
Optional: Druidism, Ngaiism, Kanaanism, Janism, Sikhism, Mormonism, Scientology (nice buildings, some of them give special promotions or XP but nothing very special, no special GW) and Voodoo (nice buildings but not a very great GW).
I hope I have not forgotten anything...
S.