Miranda Bailey is assumed to follow a Christian set of beliefs. When asked by a patient if she believed in God, she replied that she had to believe. Additionally, she sometimes prays before surgeries. She also mentions Jesus as being the "control" in her life or the guidelines to what she does.
Preston Burke is very spiritual and follows a Christian set of beliefs. He celebrates Christmas.
George O'Malley was Catholic, but was chastised by his mother for getting a divorce (despite the fact that the marriage was in a Church of Elvis).
Derek Shepherd is from an Irish-Catholic background, but he has not talked about any religious beliefs. He does mention having held onto his sister when their father was shot and "praying for God to help them" in the Season 7 episode Superfreak, other than that he hasn't mentioned being overtly religious. He certaintly does believe though.
Amelia Shepherd does not believe in a God, as she doesn't think any God would make such an evil world.
Callie Torres was raised Catholic. She can quote the Bible, as shown during the fight with her father about her sexuality. Before her divorce from George, Callie believed in God, but she lost faith, only believing in love. Later in season 5, she revealed she believed in God again sometimes.
Cristina Yang was raised in a Jewish faith upon her mother's remarriage. However, she stopped believing in "that kind of stuff" as soon as she was old enough to know better.
April Kepner has a strong born-again Christian faith. Many of her decisions stemmed from her Christian faith, including wanting to withhold sex until she was married, which she didn't when she lost her virginity to Jackson before they got married in season 10.
Naomi Bennett is Catholic, as she expressed concern over her divorce with Sam when they had to pay a house call to a convent.
George's funeral: Many of George's colleagues attended his Catholic funeral.
Praying for April and Jackson's Baby: Not knowing how to show their support, all of April and Jackson's close colleagues went to the hospital's chapel to light a candle for them, and some of them even prayed. Jackson himself also went to the chapel and "prayed" for God to show up for April.