TL;DR - Relative Benefits From Religion

Is being religious a good thing?  Previous research has found that people who are more religious tend to have better social relations, psychological adjustment, and even better health.  Gebauer and colleagues, however, found that the strength of these correlations can vary depending on the country a person resides in.

For the study, they used people's responses to questions for a popular European dating website, eDarling.  (Note that while this is self-report data--and self-report data on a dating site, at that--it's unlikely that there are going to be any systematic biases in reporting by country.)  The average correlation between religiosity and social self-esteem or psychological adjustment is on the order of .1 (not huge, but as a general rule there are no huge effects in social psychology).  This varied quite widely across the countries looked at, though, with more atheistic countries such as Sweden and the Netherlands having essentially no correlation, while the much more religious Turkey had a correlation of .2. 

So maybe it's less important how religious you are, as much as how culturally normative you are.

Jochen E Gebauer, Constantine Sedikides, & Wiebke Neberich (2012). Religiosity, Social Self-Esteem, and Psychological Adjustment: On the Cross-Cultural Specificity of the Psychological Benefits of Religiosity Psychological Science, 23 (2), 158-160 DOI: 10.1177/0956797611427045