The most obvious evidence of an informal religion is that Neanderthal man buried his dead with ceremony. Neanderthal burial sites have indicated that the deceased was actually buried there, not simply abandoned as a dead animal. There were often artifacts with the person, clay indicating that it may have been used for post mortem body markings; but most importantly pollen from flowers; Neanderthal engaged in the time honored practice of using flowers with burials.
The peculiar system of burial which they followed indicated rather succinctly that they had some belief in life after death; that the person they buried would live again in some fashion. It was not a formal religion that we know of because without any written language; there was no standard form of worship or belief that can be determined. The best guess that can be made is that their religion was somewhat traditional and based on custom and practice rather than on a creed.
When early humans began settlements such as Catal Huyuk and Jericho, there is evidence of a more formal religion, led by priests and involving a bull-like deity. This could very well have been the forerunner of the worship of Baal, the god of the storm, who often had bull like features.