Absolutely agree. It is slightly more than just background when you have Gods actively interfering in the mortal realm. Religion suddenly becomes a significant part of your life and how you interact with others.
As I mentioned on the other thread; ideally, I would like to see some small in-game interactions that depend on your chosen deity. A +1 to skills such as Insight, Investigation and Diplomacy when dealing with your own religion, for example. It's not a game-breaker, but would make me feel that my character is more grounded in the world.