In the first chapter of Romans, the wrath of God is revealed against distortions of God that culminate in various religious practices called idolatry. God is by no means always pleased with the operations and functions that we call religion. I would say that Christianity first and foremost is not a religion, even though we use that term to describe it from a sociological perspective.
The term religion describes human practices—practices of worship, of cultic involvement, of belief in a god, and of obeying certain rules that come from the god or gods. There are various kinds of religions in this world.
There is a religious aspect to Christianity. We do worship, and we are involved in certain human activities, such as prayer and Bible studies and devotions. Our religious practices are similar to the practices of other religions. But Christianity is much more than a religion; it's life.
The very fact that a person is religious does not necessarily mean that he is pleasing God; the primordial sin of man is idolatry, and idolatry is the worship of something that, in fact, is not God. The worship of idols involves the practice of religion. This is exactly what Romans 1 is speaking about; God is not pleased by any and all types of religious activity. Our religious activity may at times be insulting to God. Christianity itself can degenerate into being merely a religion; that is, it can have the external formal activities and sociological practices without the substance that motivates all these things—a profound love and devotion to God himself and a profound trust in Christ's work.