There are many religions in Azeroth and they should play a bigger part. Like the Zandalari racial. Your race and class should determine your religion and that could give bonuses if you pray in temples or churches or read scripture or preach the teachings.
Choosing to play evil classes should in turn give you debuffs. It's a choice.
Humans, Draenei, Dwarf, Gnome, Blood Elf: Light (baseline passive buff "Defender of Righteousness: Gain 50% more quest rewards).
Extra: pray in Stormwind Cathedral once a day: get 50% exp buff. twice a day: get 100% exp buff.)
Night Elf: Elune (baseline active ability "Embrace of the Goddess" Give a friendly player +20% stamina for 1 hour. Extra: Pray next to a moonwell once a day: Gain Elunian Apple (eat to gain full healt) or twice a day: "Get Elunian Feast" (works like a normal feast)
Troll: Loa (Choose your loa and get buffs, already in the game)
Tauren: Sun (Passive Buff: Earthmother's Meal "Everytime you eat the Earthmother blesses the ground around you and you gain random amount of gold.)
Bonus: "Druidic Ritual: Grow a tree once: Gain 2000 intellect or stamina for 2 hours)
Death Knights: Passive Buff: Dead Should Stay Dead (You gain only half the reputation)
extra: Once a day: When your undead minion dies gain a debuff: Defiling the Fallen: "People around know what you've done. NPC characters don't talk to you for one hour)
Warlocks: Passive Buff: Price for Heresy (Everytime you cast a spell lose 4% of your health)
Bonus: Path of the Evil. Every time you summon a demon gain 10 points of wickedness. When you reach 100 points every guard will attack you. You can lose wickedness by praying in the Cathedral of Stormwind.
Demon Hunters: Passive Buff: Satan Inside (You can't control yourself. Lose control of your character randomly.)
Bonus: Stolen Wings (When you glide continuously over 5 seconds you lose your wings and can't glider for 1 hour. Can only occur twice every day.)
edit:
added Shadow Priests (Passive buff: Worshipper of Tendrils (You go insane once a day and die. You can resurrect in 1 hour.)
Bonus: Forbidden Whispers (Everytime you whispers another player gain 10 points of insanity. When you reach 100 points you become permanently insane and can't cast spells. You can heal your insanity by praying the Light.)