Different faiths, different ideals.
You have Anu/Tethemat, who's forms eventually became Heaven and Hell eventually.
Then you have Inarius and his ilk, who created Sanctuary.
You have Trang'oul, the Dragon, who watches over Sanctuary and is known by the Necromancers.
You have the Ancients, the Nephalem who eventually gave rise to various orders, Rathma for Necromancers, Bul'Kathos for Barbarians, for instance.
You have the Zakarum, who worship 'The Light', a concept conceived by Akarat, a mortal man who had visions long ago. The Templar Order is what remains of this group.
You have the Triune, who worships the Prime Evils.
You have the Umbaru Tribe, who believes in the Unformed Lands, a spirit world between the realms, that you go to after you die.
You have the people and monks of Ivgorod, who worship the 1001 Gods, one for everything in the world. Be it a warm fire or water in a river, there is a God that they believe exists for that, numberin One Thousand and One.
You have the Sisterhood of the Sightless eye, which worship the Great Eye, an object that grants the Amazons their great eyesight and accuracy.
None have been confirmed as any sort of 'true' religion. The Prime Evils exist, for instance, but are certainly not Gods in the traditional sense. But there is a confirmed afterlife for humanity.