Most of the stories in Lake Wobegon Days reverberate with the Christian virtues of hard work, frugality, modesty, and self-restraint, which are also the pillars of the mythic midwestern agrarian value system. For the people who reside there, the guide to and justification for virtuous living is clearly Christianity, and the two religious groups Keillor discusses most frequently are the Lutherans, who are mainly of Norwegian immigrant stock, and the Catholics, who are mostly of German descent. The Lutherans attend Lake Wobegon Lutheran, where David Ingqvist is the pastor, and the Catholics attend Our Lady of Perpetual Responsibility, where Father Emil is priest. The tension between these two denominations is the source for much of the humor in the novel.
In addition to mentioning Lutherans and Catholics, Keillor discusses other religions as well, particularly the Sanctified Brethren, a fundamentalist sect akin to the Plymouth Brethren, his actual childhood denomination. Although Keillor admires the intimacy and quiet peace found in the forms of worship of his childhood faith, he takes special note of some of its most glaring limitations, particularly its exclusion of women from the power structures of the Church, its rigid code of dress and behavior, and its propensity to split and fragment into smaller groups.
For the most part, however, Keillor generally treats the Christian belief systems found in Lake Wobegon with gentle irony, even though his preferred organized religion would seem to be Lutheranism. In the Protestant tenets of the Lutheran faith, Keillor finds as much fallibility as in those of any other denomination; yet, within the context of the novel, it offers the faithful citizens of Lake Wobegon something of a reasonable compromise between the isolating fundamentalism of the Sanctified Brethren and the unbending dogma of the Catholic faith.