As you can see, there are many uses for religion in games. Step two is deciding what kind of a religion you want. Polytheistic religions are classical in RPGs, where you will often find a god for each element or each country. These religions are usually easy to create, but try being original and don't use a god for each element. Squabbles between the gods can cause wars, gods have a tendency to lose holy artifacts, and mad gods have always been a valued trophy amongst heroes.
Monotheistic religions have many problems.
Usually the One God is considered all-powerful, which raises the question of why there are bad guys. Another thing I don't suggest is using a real religion. They don't even have to appear, but the player should know about them. If they do appear, their powers and behaviour should be clearly defined and they should be clearly recognizable as belonging to a particular god. So now that you know what he can do, you should decide who he actually is.