I believe they do. I am not certain, but from reading the AARs I get the impression that for example Lutheranism and Calvinism introduce work ethics, meaning that you will get some kind of bonus (increased production or taxes). Of course, there are also diplomatic effects.
Unfortunately this game is set about 400 years after the Norse religion in Scandinavia was completely supplanted by Christianity. The old gods lived on for quite some time in folklore and superstition, but the religion was gone. (However, a new form of the religion has re-emerged in Scandinavia in modern times, with a handful of worshipers and a couple of heathen priests. Thor shall ride again!)
/Doomie
