You can scope info on the Religion of Comic Book Characters here.

Batman (Bruce Wayne) – Catholic

Superman (Clark Kent/Kal-El) – raised Protestant (in some versions prior to 1986, he worshipped Kryptonian god Rao, which was explicitly addressed beginning in mid-1980s)

Spider-Man (Peter Parker) – Protestant

Wonder Woman (Princess Diana aka Diana Prince) – Greco-Roman classical religion

Captain Marvel (Billy Batson, published by Fawcett, then DC) – Greco-Roman classical religion

Daredevil (Matt Murdock) – Catholic

Captain America (Steve Rogers) – Protestant

Elektra (Elektra Natchios) – Greek Orthodox (clearly depicted at the funeral of her father in the 2004 movie; according to some sources she is depicted as Catholic in the comics)

Very interesting stuff. Links courtesy of The BEAT.