Often times in games with stories attached to them there may be some hintings of a religious power or common faith. This can range from gods to mirrors of current religions.
As someone who believes and practices my own faith I find it interesting when religion is included in a game. For the most part it is usually a trivial part of the game or plays mostly in the background. I consider myself very ecumenical but there are times when I feel things were done "wrong" or "poorly".
This usually happens when a game uses a faith system that reflects a current one from Earth.
Two big offenders that I have played are Luminous Arc and Tales of Symphonia.
Both have a religious power that mirrors what happens to be my faith, Catholicism.
The games featured bishops, priests and even a pope in one of the games. And in both such games, the Church of the world was villainized. Which is fairly common in popular media anyway. Needless to say I felt a little sad playing the games. Luminous Arc I ended up trading in and not finishing because the story was frustrating me and the game was pretty boring.
I may be too sensitive about the whole thing but I think it's normal to feel upset if a game shows something or says something that goes against something you feel strongly about.
However, other games with religions don't bother me at all. I in fact really enjoy when developers go through the trouble of developing an original faith system for the world. It is okay to draw some inspiration from faiths of this world but mimicing it will just be insulting to people of that faith...unless of course that is your intention.
This blog writes an excellent rant on Religion in Fantasy Fiction: http://limyaael.livejournal.com/131681.html