You can modify your ads profile in your adsense account.
Login to your Google adsense account, go to Ad Review Center and under Category filters, you can check 'Religion' and save your profile. In that case any Religion based ads dont come up for your id.
If such an ad is coming up from only one URL and you want to block that URL, Go to As sense setup->Competitive Ad filter and add the URLs whiich you want to exclude displaying ads. Save changes before you come out.
There is one more menu option called allowed sites. There you can mention 'allow only certain sites' and then list your preferred sites. However this option will be more complicated to implement since we need to enter all allowed sites.
Google is mentioning that there is a new interface for adsense accounts where you can have better control of ads to be displayed. You can check up that also (links will be available from your adsense account). However I have not seen this new interface yet and not sure if it is already implemented. But whatever selection you make now will generally continue in the new interface also.
Hope this helps.