Hank "The Beast" McCoy of the X-Men was an Episcopalian!
"Hank McCoy is an Episcopalian who has a strong, clearly stated belief in God.
Although Hank McCoy has long been characterized as the "resident scientist" at the X-Mansion, the character also has a strong spiritual side, which he has expressed on a number of occasions. Hank McCoy has never been portrayed as being as being as religiously devout as some other members of the X-Men, such as Kurt Wagner (Nightcrawler) and Kitty Pryde (Shadowcat). The Beast's love of science and learning has always been a more prominent aspect of his characterization.
Although there was always a strong sense that Hank McCoy had a typical American WASP background, and he certainly seemed like an Episcopalian, we are not aware of any explicit references within mainstream Marvel continuity to Hank McCoy's denominational affiliation. In Marvel's newer "Ultimate" line of comics, the Beast died in Ultimate X-Men #44. His funeral held in Ultimate X-Men #45 was clearly officiated by an Episcopalian priest."
For the religious affiliations of other superheroes, go here: http://www.adherents.com/lit/comics/comic_book_religion.html