Religion in the Lastlands is very different than in other places in the Prime Material plane. This is mainly because it is apparently not possible to have direct contact with any deity for worshippers in the Lastlands. Most divine spells work perfectly as they should, except for spells that involve direct pleas for aid from a deity, such as Divination. Those always fail. While many claim to have seen portents or signs from a divine being, none have ever proven to be divine in origin (conmen often benefit from this aspect of life in the Lastlands). Furthermore, clerics, even head clerics of a church, find their prayers to often feel strangely one-sided, as if their calls to their god are being muffled. Add to that the fact that many fervent Philosopher Cult members can use divine magic exactly as if they were clerics of a deity and things get interesting.
The Philospher Cults and the churches are not necessarily at odds, however (though the definitely do compete at times). Many church members and even some clerics of all faiths in the Lastlands are also members of Philosopher Cults. It is not particularly rare to find a single church with some high ranking members as part of different Philosopher Cults and others members of none. It tends to cause infighting in church hierarchies as ideologies clash, but the churches still manage to function.
The other oddity is the number of deities in the Lastlands. Every pantheon present on any other world has adherents in the Lastlands. The Greyhawk deities are the most common, but all the gods of the Forgotten Realms and Dragonlance also have significant numbers of adherents. That means there are competing churchs of war gods, nature gods, etc.
Add into all this that the population of the Lastlands is less than a million people and it is clear that the religious patchwork of the Lastlands is incredibly fractured. The one human exception to this is the worship of Istus, the goddess of fate and destiny. There is at least a shrine to Istus in every settlement bigger than two houses and many private houses and public buildings display a symbol of Istus, the weaver’s spindle with three strands. Whatever else the people of the Lastlands believe, the all feel that they are not there by accident. Most feel that they were brought there or forced there by fate and are in the Lastlands for a reason. The clerics of Istus support this view and comprlse the most common religion in the Lastlands.
Additionally, the non-human deities are more commonly worshiped by their respective races – i.e. almost all dwarves revere Moradin, even if they also follow another god or are in one of the Cults.
Finally – it is unknown if there are faiths that are native to the Lastlands. The dragonborn often worship Bahamut or Tiamat, but it’s unknown of the worship of those deities was already here before the Common Races arrived or not. What gods the races of the Outremer worship, if any, is unknown.