I find the little known religious practices of prehistory fascinating - But also deeply frustrating. In most cases, all we know is that the archaeological evidence shows that people were doing all kinds of things that make no apparent sense (such as destroying valuable goods, or building complex structures that must have taken vast effort to complete, but which serve no obvious purpose). Of course, some of these may, in fact, be non-ritual activities with a valuable purpose that we simply don't recognize; But is says a LOT about the value of religion in general that whenever an archaeologist discovers that people were doing something utterly nonsensical, it is ascribed to religion (albeit under the euphemism 'ritual').
A neat overlap between 'ritual' and 'non-ritual' activities that I find interesting is the mid-20th century cargo cults of the Pacific Islands, where great riches and wondrous foods, drinks and artifacts were brought to the islands for a brief period between December 1941 and August 1945, by men who arrived on boats, cleared a long strip of jungle, raised some cabins with strange aerials on the roof, and sat inside these cabins, talking to a metal stand while wearing an odd headdress over their ears. This caused great metallic birds to appear from the sky and disgorge these fantastic objects in huge quantities. Attempts to repeat these rituals (using local materials) proved surprisingly ineffective.
Tangentially related to these beliefs are the John Frum legend, which appear to revere a generic US military figure (John from America), who brought great and fantastic artifacts, and who will return to bestow these upon his followers at some unspecified future date (a 'second coming' if you would); and the Prince Phillip cult, whereby a strongly patriarchal tribe in Vanuatu, on discovering that the Queen of England was the ruler of a large fraction of the entire world, concluded that her husband could only be a God, in order to have higher status than his bride.
Religion appears to consist entirely of the inexplicable and nonsensical things that people do, in response to that which they do not understand, in an attempt to change their lives for the better.