Religion is an excellent tool because pretty much any monotheism naturally invites conflict. Religion is historically one of the widest used ways to both control and separate people. It can be by forcing ideals, it can be by spreading hatred, or even motivation (you get X amount of virgins if you explode yourself). Nothing can achieve that quite as well as targeting a belief system and related identity. Especially if everyone around you shares these.

Conveniently it's also one of the easier ways to make you villain pursue a goal with some rather nasty means, without making them the evil alignment. Villains who think they're doing right? Pretty damn scary. Now imagine them in a position of power. A nation full of followers who will tattle on each other for even doubting their beliefs, WW2 style, having death as the best-case scenario for so-called heretics? Nothing gets the pressure on quite like it. Control and separation, brainwashing and self-righteousness. All a package deal.

So yeah, I think religion is a great tool for roleplays. Especially villainy, but it can be used both ways (though expect to see lots of grey if you see it being used for good). 
Also. Characters can be pretty much whatever and I don't think that warrants any discussion.