Good question! If I became convinced that religion of <i>some</i> stripe was true, but didn't know which one, I'd conclude...
Polytheism of some sort. Not necessarily Hellenistic, but some view that acknowledges multiple, fallible, often competing gods with varying levels of influence. As you'd have no all-powerful God with a master plan watching over the whole mess, the Problem of Evil would be a non-starter. Miracle claims from other religions would be accounted for much more elegantly than they are under monotheism. Gods with a demented sense of humor, the equivalent of Loki or "Q" from Star Trek, could inspire people to commit evil, or destroy whole towns with earthquakes while sparing, say, a statue of Vladimir Lenin in lieu of churches (something which actually happened in a Soviet town). Kinder gods could occasionally miraculously intervene in situations that piqued their compassion, but would be barred from helping all or even most humans because of limits on their power, or non-interference agreements with the other gods. They might enjoy a symbiotic relationship with humans, deriving their power from the prayer of the governed (which would explain their interest in worship), in exchange for favors in this life or the next.
I actually thought up a religion of my own, once, that incorporated reincarnation taken to an extreme: Every individual person, at all different times throughout history, actually being the same soul, switching bodies <i>ala</i> Quantum Leap with the end of each new incarnation. Under such a scenario, you and I would be the same person, but at "different times," interacting with themselves without even realizing it. An ironic part of such a religious view is that anyone you mistreated would be yourself, so anything you did would have a 50/50 chance of quite literally coming back to haunt you (assuming the other persona was a "Future You," as opposed to a "Past You"). This could even be tacked onto monotheism, say, by assuming that God himself was that lone primordial soul, who (out of boredom, perhaps) created the universe as a metaphorical wardrobe of personalities to cycle through.
While it would result in a TON of temporal paradoxes, it's some damn fun speculation, and could make the basis for an excellent novel or even video game.