If you know that the parents of a new baby or a baby on the way are going to raise the child in a particular faith, a gift that is religious in nature can be both thoughtful and appropriate. There are plenty of ways to incorporate religion into a baby gift, even if you don't wish to make the gift strictly religious in nature.
A subtle way of conveying religious content in a gift to a baby is to have a blanket specially embroidered with a message or symbol relating to a certain religion. For example, have a verse from a religious book or a symbol, such as a cross, embroidered onto the blanket.
Each religion, from Christianity to the Hebrew faith to Islam to Hindu has religious symbols and items that serve to strengthen and support the faith in believers. From miraculous medals to a Star of David, such gifts are appropriate for a baby. Think outside of just jewelry-related pieces, going also for things that can be put on a shelf or on the wall, if desired. If jewelry is desired, the Inspire Bracelet from RedEnvelope incorporates a cross in its design.
Start the child off on the right foot by gifting them a copy of a holy book from the appropriate faith. Choose a nice volume that the child can carry with them throughout their lives and in which they can record important events in their spiritual life.