I find that religion adds to the depth of experience by a lot.
This is just one example, but when I was Harbinger, the Provost was also tattooed by Fjarn, and I felt that our shared religion outweighed many of the philosophical differences we had.
Also, tattoos give some cool powers (even though I never figured out what the hell Fjarn's did.)
If you're a really good follower and add to the game you can also get other perks (Thror gave me a really nifty quest skill) but mostly I like it all for the RP reasons.