It really depends on 1) how early you can found a pantheon and then a religion or 2) how situation you can get beliefs.

There are pantheon beliefs such as Desert Folklore which gives 1 faith for every desert tile you work, so on a sandstorm map or in locations with lots of desert tiles you will be working you can get a lot of faith. This will help you get a religion very fast and if you finish social policy trees where you can faith buy great people you can get these much faster. There are other pantheons that give bonuses to food, production, faith, culture so having lots of camps for +1 food with camps, or lots of stone/marble for +2 faith from quarries etc... really helps.

Getting an early religion is really beneficial because you can choose Pagodas which I assume would be everyone's preferred first choice with religion for the +2 happiness. There are other buildings that give happiness, faith, culture, even a great work of art slot so you can really get some benefit from a religion.

It's not always beneficial to get your own religion or even pantheons because you could be left with nothing but God-King and a crappy religion that gives you no benefit so you can open up your borders to somebody who has a good religion and let them spread it, hopefully for the happiness buildings.

Then there is the advanced way to play religion and that is to use the Piety tree and get a reformation belief, a good one there is Jesuit Education which lets you faith buy Universities, Public Schools and Research Labs which is AMAZING considering they are about 800-1200 gold IIRC on epic speed so if you have lots of faith you can get these buildings earlier and really benefit.

There are strong benefits to a good religion but if certain follower beliefs have already been taken and you will have a weak religion it's almost not worth putting too much effort in to yours and just let an AI spread their religion to you.