I think it would be a good thing to have, though for the character I'm currently playing, there isn't really a god that suits her. In my head Canon she alternately worships Helm, Ilmaeter, Tyr and similar gods of justice, protecting the weak, etc. But the only time I ever really felt the lack of religion option is in Baldur's Gate itself, where there's a big temple with shrines to lots of gods.
