From a straight power playing PoW, if you're picking a European tag that is capable of becoming HRE Catholicism is probably the strongest. Short of picking the Ottomans it's hard to see a credible alternative to quick WCs by revoking ASAP, and that's a lot easier if you gun for the imperial seat right off the bat (and then you need to be Catholic). Republics (other than Dutch Republic) benefit from the easy stability, so Catholicism is also good for those.
If you can't go down the HRE route Catholicism loses a lot of its lustre, since expansion in Europe is arguably easier if you can employ Deus Vult to good effect (this is also true if, like me, you prefer to play European tags w/o relying on the empire, since that makes an already easy game even easier), making the heresies more appealing, even if Catholicism is never actually bad. Even RotW can get a lot of mileage out of it by farming points through conversions, although there are few ones where the opportunity cost for switching can really be justified (and taking "European" land in Anatolia or eastern Europe). I'd still take Protestantism over Catholicism if I'm not going for the empire or playing a republic (and even then I'd at least consider it).
Any kind of decent expansion will require you to do a lot of converting (or wasting an admin slot on humanism for convenience, which'll also end up costing you a lot of bird mana), and that means the Abrahamic religions beat everything else simply by having access to strategic modifiers the others don't get. Grossly unfair, but that's how it is--3 missionaries, with Rome, is just not good enough. This is why Coptic and Ibadi are better than Hinduism (although non-roleplayers'd likely switch out of Ibadi to another islamic faith--Coptic's potentially worth it for Deus Vult, though), despite having poor bonuses and no flavour worth mentioning. As for Buddhism, my experience with Ceylon has put me firmly in the ABB camp--Anything But Buddhist. Being penalized by your religion for playing the game takes the cake. They could at least reduce the negative karma you get for declaring "justifiable" wars (especially religious ones) to give you a chance to avoid the near-permanent -10% discipline hit.
MP is a different story entirely, obviously. Catholicism there can be problematic to stick with if you're likely to get hit hard by the reformation, and conversion strength/numbers aren't nearly as important there. The Islamic faiths become a lot more attrative, too.
OT: What's with the fascination with mercantilism from some pro-Catholicism posters? It's ultimately a trade bonus, and money isn't exactly a limiting factor--ironically, the tags best suited to stack mercantilism (Catholic Merchant Republics) are among the ones that need it the least.