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For example: Christian with no DLC - Catholic, Christian with WoN - Reformed, Christian with AoW - Protestant. Note that there are also reasons to stay Catholic.
Ultimately though, you either want the best religion for blobbing (Coptic?), or you can use any religion.
Orthodox & Religious ideas = probably the safest positive event harvesting combo which also lets you quicky convert your land, and orthodox (pre and post "Third Rome") also reduces your unrest after you convert and more successfully suppresses rebels on your existing provinces.
Sunni is great for military, and Orthodox too is great for military. Countries with either religion and with militaristic and administrative ideas kick ass.
Inti is great as well, but these all require you to start without feudalism (and you have to reform them before you can adopt any institutions). The tradeoff is severe, and makes for a difficult early/mid game if you're bordering a more advanced nation (the colonisers for example)...
Yeah tried that. Then the colonizers came very late because they colonised Africa first and rekt me with much superior tech, because I had like 200-250% tech penalty.
Also why is nobody saying Hindu? The benefits are maybe less obvious at first.
You can choose what you want most with deities (so less coring, or better military or more conversion for instance).
Then they also have more tolerance and some extra decisions for that as well IIRC. So in absolutism it will help a lot.
But even better, you can get an event to train your ruler for an extra monarch power per month. I believe this can also happen multiple times.
http://www.eu4wiki.com/Religions_and_denominations#Hindu
All in all a religion you should definitely try.
Catholic is a pretty good religion, especially if you're a sizable country that can sustain several cardinals and accumulate papal influence. Everything in western Europe is catholic, so you're not going to have conversion problems until the reformation. You can really start racking up papal influence if you start expanding outside of Europe and converting heathens. The religion itself without the holy see isn't very good. Decent events
I can't comment on reformed because I haven't played as a reformed yet. I heard it is good, though. Protestant is pretty good. Bunch of small perks including morale, discipline and idea cost reduction, among other helpful things. If you're a sizable catholic country able to collect a lot of papal influence through cardinals and conversions, I'd say catholic reigns supreme over protestant.
Orthodox definitely got a facelift with third rome. It's now on par with what most people consider the strongest religions such as hindu and Coptic. Very strong bonuses, especially if you've managed to get high authority.
If you acquire all the Coptic bonuses, its a very strong religion, with a very desirable core creation cost reduction.
Sunni is good. If you conquer another country it's likely going to be of your religion. If you're at 100 either way on the slider, you get very attractive bonuses. But that's the tricky part. Shia is alright. Additional morale but if you conquer another country, it's likely going to have no provinces of your religion. Ibadi is worthless
Buddhist has decent events. The slider is difficult to manage. If you can keep it in the middle, you get nice bonuses, but it's hard to do. Everyone around you is of your religion as well. It's alright.
Confucian is pretty good if you've harmonized with many religions. The more you harmonize with the stronger they get. You're likely ming if you're this religion so the religion will only get better. It's good.
Shinto is okay, it has fun events but nothing else really going for it. The perks from Shinto are decent.
Sikh is bad. Tengri is decent but all countries with it aren't good. totemist, fetishist and animist is bad. inti, mayan and nahuatl are alright if you reform them, which is a chore
Throw in Maghreb ideas too on naval expansion for national idea #1 and its a galley boat juggernaught.