I think it's pretty obvious that I think researching your ancestor's religion is pretty important. Face it, in an era when there were no civil registrations, there were church records.
But sometimes it may not be obvious what religion your ancestor was. I was thinking today about one of my great grandmother's lines. In the span of about 140 years each generation changed religions at least once. So they started off in the early 1800's as Presbyterian. Then about 1840 they were Baptist. And then the next generation were members of the Salvation Army. Then that generation went to the Catholic church. Now they stayed with the Catholic Church for the next generation and then we have 1 that converted to the Mormon church.
Some of the changes in religion had to do with who the person married. Sometimes they adopted and converted to their spouse's religion. And in some cases they converted to a new religion for personal reasons.
But it brings up a good point. Don't assume your ancestor was a certain religion because everyone in the family was that religion or that you are a member of that specific religion. Church records may be very diverse for your family. They may have attended a church that was convenient to where they lived. They may have converted for marriage. They may have even participated in activities for the dominant religion in their area. You may see ancestors attend a lot of different churches or even be baptised, excommunicated and baptised back into the same faith.
So be persistent and follow your ancestor's lives through church records. Check out records for the entire lifespan of your ancestor. Do they seem to drop off in the records at some point? Start looking at other possibilities including joining or attending a different church.