"Ye shall not rob from the house I have built,
or commit any theft or unrighteousness,
lest ye be struck down and driven into the earth forthwith,
and the land of the heathen consume you."
In fictional worlds, there is Religion and there are religions.
Religion, the theme of faith or piety, is that element of a fictional world concerned with commentary or making a point. The religions, by comparison, are the actual instances of dogma, tradition, worldview, and culture that form the fictional religion, as opposed to the subtext of Religion as a theme. An icon shown spattered with blood after a gunfight uses the theme; an imagined hymn sung by an idle NPC just to create the illusion of life in the game world is creating a culture.
Some game worlds use religion, and a few even create religions. The world of Thief is unique in that it does both.
As of this writing, there are three games in the series, beginning with Thief: The Dark Project (PC, 1998) and continuing with Thief II: The Metal Age (PC, 2000) and Thief: Deadly Shadows (PC and Xbox, 2004). Recently Eidos-Montreal announced development of a fourth game in the series.
The purpose of religion in many games is to define the outsider. Recent examples of this are Assassin's Creed and Prince of Persia, which use religion to define their player characters and roguish outsiders, just as The Dark Project did.
Outsiders make great protagonists because they mirror the player's experience. We players are often interlopers, entering the game world and upsetting the characters and the action that would theoretically unfold if we didn't show up. Unlike the characters we may meet patrolling the game levels, we are new to the game's environments and situations; we're strangers here ourselves.
When Religion is a factor, the outsider's point of view becomes more valuable. You can tell a player what a character believes, but you can't make a player agree with him. Not everyone wants to roleplay through a stealth game or a shooter. Playing the outsider allows us to participate in a game world without agreeing with it - we can admire it, mock it, question it, because our proxy gives us license to set ourselves apart from the ideology without giving up the game.
The quote at the start of this article, from the opening cinematic of The Dark Project, immediately defines Garrett, the titular thief, as an outsider in The City, where all three Thief games to date take place. It explains the whole dynamic of the game, really: dogma, crime, and the migration from one group to another as the consequence of crime and strife. Right away, we're told that stealing is forbidden and risky in the game world, and that there are two factions - the people who built the houses and the heathens.
The Thief games draw on the common familiarity of fantasy religious tropes - the pious and the pagan, Law and Chaos, civilization versus the wild - and then weave around those old pillars like prowlers in the night. In doing so, these games present terrifically noir experiences by taking things that are so often black and white in fantasy games, like the devilish trickster and the righteous creator, and painting them gray.