For the most part, I just find that they're less willing to be satisfied with simplistic depictions of morality and religion. In our game, for example:
*There is no alignment. No gods are universally categorized as good, neutral, or evil, and the differences between chromatic and metallic dragons are primarily cultural. This fits pretty well with Zeitgeist, anyway, in which orcs can be noble and the antagonists are convinced they're bettering the world. This lack of alignment leads to in-character quotes like, "I don't have a problem with Triegenes, I have a problem with his followers," and "How do we know we can't trust the demon? Have you ever met one before?"
*While everyone pretty much agrees that Triegenes exists, there are divergent opinions on whether Triegenes has personhood or is simply a personified ideal, and whether the things that Triegenes represents are worthy of veneration. Similarly, everyone pretty much agrees that the fey exist, but there are divergent opinions on what, exactly, they are and whether or not they have our best interests at heart.
*There are a variety of factions and theologies within the major world faiths. For example, one PC inadvertently founded a monastic order in the abandoned Nettles church (where no one can die). Convinced that Triegenes is keeping them alive for a purpose, they've abandoned their faith's typical focus on personal apotheosis and have instead embraced the idea of collective apotheosis (with a little nationalism thrown in) - Triegenes has a unique and exceptional plan for Risur, which will play a vital role in the perfection of the world.
Amusingly, the most spiritual characters (an invoker and a skyseer) are played by the atheist and the agnostic in the group.