First religious X-Men characters that come to mind are some that people already mentioned here like Karma & Nightcrawler (Catholics), Dust (Muslim), Wolfsbane Presbyterian), Magneto & Shadowcat (Jewish). Aside from these only other character whose faith has actually been confirmed on panel is Iceman I think. But he has never been depicted as particularly active practitioner of his faith unlike the other characters mentioned. And as for Indra, he's religious too I believe but I'm not sure if he's a Hindu or a follower of some other faith like Jainism.
Other characters whose faith has really been touched upon on panel are characters like:
-Storm, who apparently worships some sort of Goddess who is also called Bright Lady. Not sure if the identity of this deity has been made explicit on panel but I've always assumed that it refers to Mother Nature/Mother Earth since considering Storm's powers it kind of makes sense. And apparently there are more than one deities in MU that are referred to as Bright Lady/Goddess/Mother Nature/Mother Earth
-Colossus & Wolverine who have both been depicted as agnostics/atheists which makes sense since Colossus grew up in Soviet Union (at least that was the case though it starts to become more and more improbable as the time passes) and Wolverine has had such a long life full of so much crap that it's not surprising that he would be tired of caring about worshiping any sort of god(s).
Only other X-Man whose religion I would dare to guess would be Beast since he's a scientist and I kind of see him as agnostic/atheist and I have this feeling that it might have actually been confirmed on panel at some point that he doesn't hold any specific religious beliefs.
But those are the only characters who I think have actually been shown to have any kind of clear beliefs on religion on panel. With all the other characters it would mostly be guesswork and trying to deduce their faiths from all the stuff they have mentioned over the years and to me that's just too unreliable.
However all this talk about religion and the characters' beliefs has got me wondering how does religion in MU even work. How can you be an atheist in a world where at least some of the gods from all the various religions really exist and when characters have actually met certain gods like Odin & Zeus. And how can you have any sort of faith when you know that gods exist and are real? At that point you wouldn't need to leave your beliefs up to faith, now would you? And if we go outside of X-Men you'd think that appearance of heroes like Thor & Hercules would have increased the number of people who actually worship Odin or Zeus as their deities and might have even led to Odinism or Ancient Greco-Roman Pantheon's worship to become massive religions that rival Christiany, Judaism or Islam in scale.