Catholicism
Benefits of Catholicism:
*Diplomats. If you're really blobbing into space, you need every diplomat you can get your hands on.
*Infamy reduction from the Curia. -.1 Infamy per year per cardinal, and big honkin' Catholics get a lot of cardinals, especially after they vassalize the Papacy.
*Colonists. Catholicism is exceptional for planting the flag on heathen soil.
*Excommunication and Crusade. Expand in Europe on the cheap (so long as your targets are disobedient towards the Pope) and get bonuses for fighting against the heathen.
*Guild of St. Luke. Magistrate bonus ahoy.
*Iberia and Italy can more or less skip the Reformation's ills entirely if they want.
Drawbacks of Catholicism:
*Intolerance. Conversion is a very high priority for heretical provinces.
*Narrowmindedness. Papal Influence is affected by your Narrowminded/Innovative slider, and the Catholic decisions that give missionaries require narrowmindedness.
*Must keep the Pope friendly or risk excommunication. Excommunication is bad. (This is easy to do, of course.)
*No Missionary bonus for Rome, and the Counter-Reformation missionary bonus is smaller than the bonus for being a Protestant and just taking the City.
Who should stay Catholic:
*Someone with a balanced approach to Europe, colonization, and crusade (holy wars in Asia and North Africa). Catholicism has a little something for everyone, and a balanced approach allows you to make use of all of Catholicism's strengths.
*Iberian or Italian colonization-focused powers (Portugal and Castille, or a cleverly-used Venice, Genoa or similar power). These will often be somewhat narrowminded anyway, the Iberians get the Societas Jesu (every little bit helps when converting the natives), and being Iberian or Italian keeps them safe from having to put up with the Reformation. Even more true for Castille, since they're probably taking a balanced approach, both colonizing and crusading (and probably meddling in Italy to boot, if not actually trying to make Spain the Emperor).
*A case could be made for a crusade-focused Italy or Italian state (such as Naples) remaining Catholic and using the Pope (an OPM vassal in Romagna, of course) to declare crusades and excommunicate European rivals, while remaining impervious to Protestant meddling. (Note that I do prefer Protestantism for Italy.)
*The Pope. Duh.
Protestantism
Benefits of Protestantism:
*Tax. Higher census taxes, higher tax income.
*Production. This can and will be a huge source of income for conquerors, especially outside Europe.
*More missionaries(!?). At least, if you control Rome, or if you're going Innovative all the way and still take the decisions.
*Innovative/Narrowminded. Protestants can go full innovative without having to care about the Curia, and their missionary decisions do not depend on being narrowminded.
*Tolerance. It's less vital for you to convert Catholic provinces right away if you have a lot of stuff to do.
*Don't need to play nice with the Pope.
Drawbacks of Protestantism:
*Stability cost. 30 a province does add up, even though you should be making enough to make up for it.
*Colonists are cut by half, meaning that your colonial projects can expect slowness.
*You don't get the Curia's benefits.
*You do eventually need to convert your provinces, which can be a pain if you have a lot of them when the Reformation fires.
Who should go Protestant
*When you're looking at forming the HRE. You can use the Reformation to generate IA, and you don't want to be doing too much conquering internally to the Empire anyway. (Of course, you will have to vassalize and force a lot of religion, but that shouldn't be a problem, right?)
*When you're forming Germany. Census tax helps, as does a devil-may-care attitude towards diplomacy, and German provinces like the Reformation a lot. Your starting provinces will probably convert on autopilot.
*Crusader powers, who have little use for colonists anyway but do have a lot of use for production income, who will usually pop all the missionary bonuses as a matter of course, and who have a lot of coastal CoTs on the way for when they do need to colonize.
*Russia. This one's a bit gamey, but Russia gets all the colonists it'll ever need from the steppes anyway, and they're the ultimate in crusading power when it comes to production income.
*Italy. If you don't want to leave the Pope alive in Romagna as a puppet, you don't need him anyway, especially if you've already formed Italy before the Reformation hit and you're on your way to Asia. You will have Rome, and you're almost certain to have Mecca and Jerusalem too.
Reformed
Benefits of Reformed
*Trade. This is the big one. Reformed nations get a big bonus to their trade efficiency; it's like another National Trade Policy jacking up their income and compete chance.
*Colonists. They colonize fast and well.
*More missionaries(!?). At least, if you control Rome, or if you're going Innovative all the way and take the decisions. (Note that fewer Reformed powers will be messing with the Holy Cities, so this is less beneficial to them.)
*Innovative/Narrowminded. Protestants can go full innovative without having to care about the Curia, and their missionary decisions do not depend on being narrowminded.
*Tolerance. It's less vital for you to convert Catholic provinces right away if you have a lot of stuff to do.
*Don't need to play nice with the Pope.
Drawbacks of Reformed
*Taxes. -10% to tax income and census tax. Best be making this up with trade.
*Stability cost. 30 a province does add up, even though you should be making enough to make up for it.
*You don't get the Curia's benefits.
*You do eventually need to convert your provinces, which can be a pain if you have a lot of them when the Reformation fires. Also, you may have some Protestant provinces already, complete with Religious Zeal.
*Slightly weaker missionaries take longer to convert provinces.
Who should go Reformed
*Colonizing free-traders. The optimal strategy with Reformed is to cover the Americas, South Africa and Indonesia with your colonies, and cover every center of trade in the world with your merchants. If you're conquering heavily in Europe, or Asia after 1650, then another religion might be better; you need to keep your infamy low to free-trade across the world.
*Merchant Republics. If you want to stay as a Merchant Republic for the whole game, Reformed is a good choice; I've never done this so I can't really comment.