Prometheanism. A shame it didn't exist in the real world, because it totally should have. Religion centred around learning and education? Y'know, things that actually matter? Heck yes.
Celtic paganism because DRUIDS, baby. Enough said.
Zunism, because it's just awesome. You can celebrate Nowruz for a nice piety boost, and a lot of cool random stuff can happen with the Festival of Zun event. They're also the only ones who don't get pissed if you suggest that the earth revolves around the sun. Since they worship it and all, they actually love it if you do that. Unlike other pagans, they can also join the hermetic society, if that's something you want.
Zoroastrianism can be fun but challenging, because in the 769 start you're completely surrounded by Muslims, who will often try to annihilate you at the earliest opportunity. The "Divine Blood" boost is nice, but having to constantly get rid of deformed inbred kids and grandkids can get annoying. Celebrating Nowruz and getting the piety boost is good, though.
Haven't played much with the new Tibetan Bon faith yet, but it seems really cool so far.