In all honesty, the Hylian religion makes the most sense. http://desertcolossus.com/compendium2/index.php?Chronicle%20of%20Hyrulian%20History
In a world where you can learn teleportation and fire spells, speak with the goddesses, buy/sell magical elixers (that actually work), where you regularly see people who have fairy companions helping them out, where the rulers have super-human powers, and the gods actually HELP people in a provable manner (IE, transporting a hero through time in order to defeat a warlock. etc.) Where temples have glowing energy beacons that prove it's a magical place.
THAT is a world where religion makes sense, and where people should pray, and be concerned with what the gods want... We don't live in that world.