The first piece of advice I have is to ignore DarkTemplar's post, as he is jaded and because you probably don't have any idea what CRS is.
Generally, the admission process for religions is not very stressful: the high followers are capable of blemishing you (i.e. punishment) should you do something drastically wrong, so they're often willing to accept you as long as you fit the basic description for the religion. I suggest you find a religion you like, read the helpfile associated with that religion and your race, and come up with a character concept centered around it. Make sure to pay attention to aura and alignment, though; a light aura-ed character will not be able to get into the blood religion, for example.
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After mulling over the previous two ideas I wondered if religions ever 'compete' to gain new recruits.
Yes, some do. Join the Church of Meissa! Healing is good for you!