(P)REVIEWS - Civilization IV Preview by Solver The War of the Faiths
Religion is indeed an important part of CivIV. How much attention you pay to it and how much you spread the word to other civs with your Missionaries is, ultimately, up to you, but you will gain greatly if you know how to use religion to your advantage.
As you probably know by now, you can establish a religion by being the first to discover a certain technology. The religions and their corresponding technologies are: Buddhism - Meditation, Hinduism - Polytheism, Judaism - Monotheism, Christianity - Theology, Confucianism - Code of Laws, Taoism - Philosophy and Islam - Divine Right. When someone is the first to discover one of these techs, a religion is established in what becomes the Holy City of that religion. The Holy City is chosen at random, but it is almost certain to be your capital for the early religions simply because you aren't going to have any more cities at that point.
So, how does religion actually work? First, there's your state religion. Each civilization can pick a state religion, which can be any religion that has been established until that time. Yes, you can also choose not to have a state religion but it is not a wise decision until the later game. Cities that have your state religion are going to be happier and produce more culture. Also, with a religion, you gain access to the religious civic options - two are available early, a third one comes somewhat later, and the fourth is in the second half of the game. There are also buildings that you can only build if you have a religion in that city. Each religion gets its own "themed" buildings (that have the same effects)
Rest assured, though, that is not all. Religion also has a considerable impact on your relations with other civilizations. Civilizations that share a religion are going to be friendlier, and if you are the founder of a religion which is also the state religion on another civ, it's going to be even more friendly towards you. Likewise, civs with different religions have a negative modifier in their relations, and the religion founder tends to dislike civs not sharing their religion even more.
In that way, I have found that religion sometimes determined my future relationships early on in the game. If I started close to a civ and we both founded different religions, it could well mean a war later; on the other hand, a civ without the religion would become a target for my Missionaries and a probable ally after conversion.
Spreading your religion has several advantages. First, you have line of sight in cities that have your state religion. Second, after you build a Shrine for your religion (think of it as a Wonder, but only buildable in Holy Cities and by Great Prophets), you will get money from each city that has the religion for which you have a Shrine. Third, if you spread your religion enough even in a civilization that has another religion, there's the chance you could get them to convert to your religion for a good relations boost.
Religion is likely to be more important in the early and middle game than in the late game. Later in the game, civs get the option to adopt the Free Religion civic, which essentially means no state religion but instead grants religious freedom, resulting in extra happiness from all religions and a research boost. So, you can have a city with Christians, Jews and Muslims in it that will be very happy because they live together in peace! The diplomatic impact of religion becomes smaller after Free Religion is adopted, but rest assured that some civs will stay religious for the entire game.
One of the small things I like about CivIV is the religion advisor. It shows you, among other information, influence in percentages of all religions in the world. Seeing your state religion surpass all others on that screen is a pleasant achievement.
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