The theological implications of intelligent life outside our solar system would be profound. Let's make this easier and consider which religions would not freak out. I think Jews would be okay; aliens don't change their status as God's Chosen. Buddhists would fare well. Scientologists already believe in an intergalactic empire, so their worldview would not shatter. Not sure about Mormons -- they believe in other planets, and they already have Jesus making a trip to the native Americans, so I guess it wouldn't be a stretch to say that Jesus might have stopped off at other civilizations along the way.

Can't think of many more. Fundamentalists of the Big Two would have serious issues.

Assuming whatever intelligence we eventually contact is mortal (and no some self-dividing amoeba thingy that never really dies), it's safe to expect that it will have its own religion already. I can't imagine a self-aware, mortal species not developing a what-happens-when-we-die scenario with all of the attendant theology.