If we want to discuss about religions in the world created by Martin, we could start from an assumption, that the writer, in my opinion, has tried to point out two different kind of religions: the ones  that actually descend from the ancient Magic (extinguished in the western continent, as we learn reading the first chapters, after the Great Disaster of Valyria) and the ones that were created by men using a basic psychology and taking advantage from some peculiarities that could be mistaken with miracles.

In the first category we may introduce the cult of R'hllor, the one of the Faceless men and, with a little effort, the one of the First Gods.

To fully realize, until now the cult of R'hllor is one of the few that proved it can work miracles, fact that is moreover happened only after the birth of the three dragons: the events quoted all over the books (as I recall) are the power of Thoros (to raise men from the deads), the divination performed by Melisandre, the confirmation of the prophecy about the comet, that forecasts the birth of a new hero, event that happened  (the coming of the comet) concomitant with the “rebirth” of Daenerys from her husband's funeral pile ( at least we can foresee thar she will be likely  the next Azor Ahai, in spite of the poor Melisandre, who may probably be a prophet, but as Cassandra, she cannot recognize what she has foreseen, forcing Stannis to play the  future warrior of the light).

Moreover, we can notice her enduring ability in breeding the Shadows, even if this is a real frightening power. At the end, to have another proof of Fire's magic and its bond to the dragons, we must remind the speech of the Court's pyromacer, in other words the fact that the wildfire seemed to be easier to create, like happened when the dragons were still alive.

This kind of religion is likely the one that more wanders from a comparison with a “real” religion, in fact it was created for exclusively use of the story-telling. As we now know, this is the only religion that is waiting for the coming of the God of Night and Terror, great enemy of R'hllor, and places the evil god where Martin made we believe dwells the great icy danger that will invade the world ( with the Wall's permission).

Always lingering at East, we know that it also exists the cult of  the Faceless Men, tied up with the personage of the Stranger in the Westeros, that we also know through characters like Arya and Jaqen.

About this cult we know very little too, except that they work for payment and that they have the power of switching their features. This one can be also listed in the number of the religions (or cults, this is not so clear) that own a real magical power.

The cult of  “The Ancient Gods” is instead tied up with the first dwellers in Westeros ; if we wanted to find a real hint we should search it in peoples like Mayas or, rather, redskins. There is a very clear similitude between this last breed and the “Children of the Forest” indeed, as a matter of fact , we could recognize in the spiritualism that marks them both and in their expulsion on  the Isle of the Faces (a similitude with doubts) a basic hint not as forced as it could seem.

In any case, from the different tales we know, the creation of the Heart Trees was related to the Children of the Forest, a kind of instrument to see over all the Westeros' lands, through the red eyes of the faces carved in the wood, and a magical gate (bonded to the Nigth Watch's oath), and it also was related to them the disaster that broke the passage between Dorne and the eastern continent, leaving as a gift the Step Islands (issue that was never proved).

Always in the first books, Old Nan tells stories about the last hero, created to fight out the Others (even if until now we never became aware of this legend's conclusion), where a man, aided by the Children of the Forest, finds a way to fight them (similitude with Coldhands), and there are evidences of that in the various piles of obsydian arms (dragonglass), forsaken nearby the Fist of the First Men.

To put an end, the same existence of the Others ( similar to the presence of the God of the Night and Terros, rival of R'hllor), shows that the legend, related to the First Men's and Ancient Gods' cult, has a real authenticity.

The other two main religions are the cult of the Seven Gods and the religion of the Iron Islands' dwellers. Both of them, in my opinion, are religions that are based on human psychology: the seven faces of the Gods are, after all, the different aspects of men's or women's life, and their cult is, like in the Christian religion and its derivations, headed and entrusted to a narrow circle of devoted members, a kind of clergy that's present in all the houses, great and humble ones, or in every village  and hamlet, just like in the Middle Ages were country priests or great bishops in the cities.

Just like in our Middle Ages, there is a kind of armed pilgrims, that made the powerful tremble with fear, like Targaryens, and that was militarily abolished (like happened during the persecution of the Crusaders), that were created for the same reason of the Militant Faith (splitted up in the Warrior's Sons, the more skilled fighters, and the novices, that are the Poor Fellows), in order to protect the pilgrims, but that late on became a real armed force.

To conclude, the similitudes with the Christian religion are represented by High Septon (our Pope), and by the iconolatry of the seven wooden statues that symbolize the Seven Gods, just like the iconolatry in the Christianity; seven also are the hells as recalled in some Westeros' curses, probably  circles that lead again to the Medieval vision of the Hell and, to the very end, both religions use the bells to call together the believers, or in order to make known dangers and celebrations.

We know for sure that those gods, just because they are a product of human mind, never performed miracles, seeing that the only certificated miracles are the ones by Baelor the Blessed that, as explains Tyrion, are more pieces of total madness than real miracles, dictated by one of his trial's poison, that changed him irremediably in his mental balance (a very likely item, seeing that he was a Targaryen).

Then remains only the cult of the Drowned God, created specially for the people that practise it, is in fact an extreme religion fitted to raiders as are the Ironmen, that could remind the Vikings' religions, where the men who die in battle are worthy of heaven, on the other hand the dark idea they had about death and blood permeate all the heraldry's iconografy of that people.

This one is a religion that neither shows real miracles: as a matter of fact, it's followers rebirth is only a mouth-to-mouth method of artificial respiration, that could be more or less successful (it seems that Aeron is as clever as it could happen in the best marine salvage, seeing that he boasts he has never lost an acolyte).