How could I forget this one? The Ark of the Covenant was the most holy object in ancient Judaism. It carried the stone tablets given to Moses on Sinai and was kept in the innermost chamber of the Temple. Only the high priest could enter this room, and that only on one day of the year. In popular culture, the Ark was at the center of the first Indiana Jones movie. Last year LEGO released a series of Indiana Jones sets, including Indiana Jones and the Lost Tomb. Note the small model of the Ark in the center.
Also note that that set has two statues of Anubis, the god of the afterlife in ancient Egypt. That makes me think that I shouldn't limit myself to the major religions of the current day. With that in mind, before LEGO had a specific license to make official Indiana Jones sets, they had a similar series of sets called the Adventurers. Johnny Thunder (the stand-in for Indy) explored Egyptian ruins in the Desert series, including the Temple of Anubis set shown below.
Next Johnny found himself in the jungle, where he found vaguely Aztec/Mayan/Incan/etc ruins in sets like Amazon Ancient Ruins, below. Note, for instance, the headress on the chieftan/priest.
After encountering dinosaurs (no religious content in those sets) Johnny went on an Orient Expedition, where, among other things, he visited the Temple of Mount Everest, below. We'll assume that this is supposed to be Tibetan Buddhist, I guess.
In a separate line, LEGO had pirates sets. A subtheme of that line had the pirates encounter the Islanders in sets such as Enchanted Island. Their religion is totally undefined, but we get a generic idol in that set. I'll assume that it's vaguely based on the Moai of Easter Island.
Okay, perhaps that exhausts the list of official LEGO sets with reference to religion. Are there any I missed?