Okay, so right off the bat, if I ask about this, the two most obvious things that come to mind are Daredevil and Nightcrawler being Catholic.
Also, I know both Ben Grimm and Kitty Pryde are at least ethnically Jewish. I'm not sure if they're actually shown to be practicing.
In the Marvel TV universe, at least, Punisher is a lapsed Catholic. I read something about Gambit being Catholic, which would seem to jive with the Bayou background.
Anything else ever referenced?
Also, while we're on the subject, I've seen certain comics with Nightcrawler wearing a Roman collar. Was he supposed to actually be in seminary at one point?