I think the majority of the X-Men practice a form of Christianity; otherwise why would there be Christmas issues?

Kitty is the only known Jew of the team, but she's non-practicing, meaning you'll never see her light Hannukah candles in an issue.

Morrison's new character Dusk/Dust is Muslim.

Claremont has never said which religion Thunderbird III practices.
- Blink

"When it comes to emotions, even great heroes can be idiots." - Sir Te, Crouching Tiger Hidden Dragon