I grew up in a non-religious household, and while that's made me somewhat out of step with a lot of America I don't really feel like I've missed anything of note. Sure, I lack a traditionally organized set of rules and norms and possibly a sense of community, but I've picked up on the whole not killing, not stealing thing pretty well and I tend to be anti-social so I don't mind not having a building to meet other like-minded people in on a given Sabbath.
I mostly I don't bother with organized religion because over the years I've reached a deeper spiritual bond with pop culture than I ever could have with the message of Jesus Christ or Buddha or, I don't know, the Scientology guy. It's where I draw my strength from in times of need, and where I find the lessons that make up my morality. So if you're not the church-going type have you considered...
The religion of Batman himself is hotly debated, but I'm not weighing in on that. There are two spiritual lessons that that can constantly be learned from the 70+ years of history regarding the Caped Crusader. The first is as simple as it is challenging as it is rewarding. Namely, that with enough force of will you can confront what you're afraid of and make it fear you in turn.
The second is the most important, do not transform into what you hate. You can't kill a killer without becoming a killer yourself. These important tenets, combined with Batman's never-failing dedication to making the world a better place earn him at least sainthood in my opinion.
The comics and novels of Neil Gaiman top any religion by being all of them. Every... single... one. He took the entire span of human belief, including not believing in anything at all, said, "Yep! That'll do," and forced readers to enter a world where you have to accept that just because your belief is right, it doesn't mean the other person is wrong even if they believe the exact opposite.
More than that, Gaiman teaches us that religion is a two-way road. The gods may be the masters and we may be their puppets, but the strings pull both ways. Pull with enough force, and you change existence itself. His work holds men accountable to the gods they make and worship, something a lot of people could stand to learn.