Creating a fantasy world from scratch is an arduous, daunting enough undertaking, what with having to decide what it looks like, how its people act, how far this city is from this mountain, if the world has magic, or dragons, or sea monsters. You need a history, a timeline, a sense of logical consistency. And, unless your fantasy world is steeped in science and Atheism (which, now that I think about it, sounds awesome) you’re probably going to need a religion.
Religion has, from the times of men looking up at lightning and surmising a god must be up there throwing down electric bolts, stemmed from a need to explain the inexplicable. And, in a fantasy world, there’s probably a lot that’s inexplicable. A fantasy world might fear sea monsters as demons, might revere dragons as gods, might think magic comes from people touched by the heavens — or by hell.
So, most fantasy worlds are going to have some kind of religion. People fear the unknown and seek to explain it — the question is, how do you decide what kind of religion your fantasy world will have? Amy Rose-Davis’s article Creating God In Fantasy says a fantasy religion should, at the very least, answer three questions: where did we come from, where do we go after we die, and what should we do while we’re here.