Genealogist Leslie Albrecht Huber has a new book out, The Journey Takers. This book is based on her research into her ancestors who left Germany, Sweden and England for the United States. Though I cannot provide a full review of the books, since I just started reading it, you can read what Randy Seaver has written in his review found on his blog Genea-Musings.
Leslie has a website, Understanding Your Ancestors, which also has some great information for those genealogists researching their Western European ancestors. In particular, check out the Religion page. This page goes into a discussion about the religions these ancestor's practiced and some ideas about where to find records. Don't forget to check out her article on Parish Records also found on her website.