It is important to hunt for the complete family for clues to their religion - don't ignore the brothers and sisters because one of them might be much more visible in their church life. Even if all members of the family did not worship in the same church one will often lead to resources that help you with the others.
There are some educated guesses you can make by playing the odds:
Where did they come from?
English can go anywhere and normally begin by being Anglican unless they are Quaker or Congregationalists. If they went to New England they were most likely Congregationalists. If they went to the Middle Colonies they probably started as either Congregationalists or Quakers but might quickly change to something else because there were so many more choices there. Congregationalists and Presbyterians felt at home with each other and then there were all the new denominations taking hold like the Baptists and Methodists. Knowing where they first settled can sometimes help you pinpoint better what they probably were.
Scots & Scotch Irish (northern Ireland) usually begin Presbyterian but after a generation or two migh change to Baptist or Methodist or one of the groups that came from those. Most early American Scots were Scotch Irish and they nearly always spend some time in Pennsylvania before they move on.
German beginnings can be more difficult to pinpoint as they might be Protestant or Catholic, Lutheran, Brethren, Moravian, Dutch Reformed. Many of them were later drawn to Methodism.
Dutch usually begin as Dutch Reformed but as they moved further from places like New York and Pennsylvania they tended to stay in a Calvinist group like Congregationalists or Presbyterian and later Baptist
Irish do not come in large numbers until the 1830s in the famine years. Most are Catholic but some were Protestants from the north or Protestants living in the Catholic regions so while it is probable they were Catholic don't rule out the Protestant possibility.
French who go to Canada or the deep south are usually Catholic. French in the Great Lake regions are usually Catholic as they had first been in Canada. French who go first to New York, Virginia, Pennsylvania, were usually Calvinist protestants
Welsh who came early were often Quaker but there was a sizable Welsh Baptist migration in Pennsylvania that branched out quickly.
Migrations were normally predictable and followed the Western Land Claims that were set at the beginning of the new nation in the 1780s. If your family is NOT being predictable that is often a sign of a religious migration.
This helps because if you have a family in Michigan and you only know they came through NY you still can guess they start out Congregationalists and if they don't seem to be that anymore there is some point in between that they have attached themselves to a new group.
Some sources for finding the correct denomination:
obituaries - particularly in the 1870-1930 period obituaries often gave detailed accounts of religion in a person's life. Later these gave way to "he was a member of the Free Methodist Church"
funeral records and cemetery records
county histories - these are found in a variety of places but the two best sources are http://books.google.com/ and https://archive.org/ (use the pull down to search TEXTS) . Look carefully at the table of contents, indexes etc. Google Books will let you keyword search - try putting in the denomination you think they would have been to find general history as well as the surname of your family or families they married with.
marriages - if you have access to a marriage database or set of images that show the minister these can be extremely helpful but make sure you have a few marriages from the family to compare in case your couple just nabbed the first j.p. or minister they could find.
Once you have a list of ministers try Googling those people
newspapers
in the latter half of the 19th century till today marriages often appeared in the paper and sometimes give wedding details or tell who officiated. They also have many church notices and this is an area where women often appear. Churches also sponsored various groups like temperance associations or ladies auxiliaries.