"What did our lord Christopher Walken get you this year, Harry?"
Also, in one of the books we see the tombstone of Harry's parents with a Bible verse engraved on it, so it would be safe to assume that they were at least a little bit religious.
That, or whoever buried them was kind of a jerk.
This presents a massive crisis of faith for anyone living in the world of Harry Potter, as the fact that magic exists automatically contradicts half the stuff that's in the Bible. The school is haunted by sentient ghosts (like Nearly Headless Nick) who are basically floating refutations of the Christian afterlife. The most feared creatures in that universe are Dementors, robed beings that can suck out your soul before God or Satan ever get to it.
And in this universe, most of the miracles Jesus was supposed to have accomplished only by the grace of God could be performed by a 12-year-old with a wand and a copy of The Standard Book of Spells.