To talk about religion in my world, I need to provide a little background first.
My favorite setting I run is a dark, gritty fantasy world. It is based on combined ideas from the old Shadow World of Kulthea setting, along with the Fae (a hidden magical force which flows through everything, and can be influenced by accident or manipulated by those who know how.) The Fae concept comes from C.S. Friedman's Coldfire Trilogy (Black Sun Rising, When True Night Falls, and Crown of Shadows)
The game world is the result of a collision between a physical world, and a world from another dimension that crossed paths in the past. Supernatural forces and creatures from the dimensional world crossed over into the physical world during the time they overlapped which was know as the Conjunction. The Fae and the supernatural creatures (demons, vampires, etc.) spilled over into the physical world and found shelter in the dark spaces underground and hidden throughout remote locations around the world.
The Fae itself is the power that manifests through manipulation or belief. It isn't inherently good or evil, but reacts and is shaped by the beliefs or will of those in the area. If the belief or manipulation is strong enough, the Fae can be shaped into real creatures. (Example: everyone in the village tells their children about the bogeyman that comes to take away misbehaving children. If enough people (children) strongly believe in it, then the Fae creates a real bogeyman.)
The religions in the world have tapped into this ability without realizing it. They preach their particular belief in whatever power or god they worship, and if enough of their followers believe in it then the Fae becomes the source of their miracles. (healing, protection, etc.) They create their source of power (god) through their beliefs. If their particular brand of religion loses enough followers, their god's power and influence is weakened or goes away.
The Fae is normally balanced between perceptions of good and evil, but in times of war or suffering, the Fae often shifts toward the darker side and supernatural creatures are formed or released into the physical world. A haunted ruin or forest can become a true home to monsters or ghosts if enough people believe in its reputation. Conversely, in good times or in positive areas (sacred temple, grove, etc.) the Fae reacts to the good aura and the area may become a place of protection or healing (magical healing waters, etc.)
It's a world where most magic is rare. Therefore, it is amazing to most people and considered miracles or sorcery depending on how it is used and the perception and beliefs of those viewing it. People in this world are VERY superstitious.
Finally, the Fae exists in invisible lines of power that run through the world. It can become concentrated in areas where these lines come together (often an extremely physically active location like a volcano or fault zone, large waterfall or other natural occurrences). These nodes or nexus locations are sought out by those who intentionally study and attempt to harness the powers of the Fae. Magic is strongest and also most dangerous in these areas.
Some of the largest temples and towers of sorcery are located at these points to harness the potential power that emanates from them.
As far as gods go, they are as real as people believe and make them.