May you be amazed to find out that Middle-earth was home to but one religion. That religion was one based on polytheistic principles, and involved believing in the Valar (The Powers), the Maiar and, of course, Iluvatar, the chief god of Arda. Not one child of Iluvatar has ever seen its creator; but the Ainur often appear in Beleriand in the guise of the Children of Iluvatar - either pursuing their own purpose or helping the people of Middle-earth in their plight.

The eight Lords of the Valar are:

Even though it is these names that often surface in the tales and sagas of the peoples if Middle-earth, other Valar also played an important role in the making of the world. They are

Although Melkor was originally one of the Valar, he was banished from their order after the destruction of the first abode of the Valar in Middle-earth on the Isle of Almaren.

As to the construction of temples and altars, only one is known to have been built on the Island of Numenor by Sauron. The temple was enormous in size: 500 feet tall and 500 feet in diameter; the walls at the bottom of the foundation were up to 50 feet thick. The temple was crowned with a huge silver dome. There Sauron, having tricked the Numenoreans into worshipping Morgoth, sacrificed the Faithful Numenoreans and burned Nimloth; when Numenor vanished underwater, the dome collapsed as it had been chipped by a lightning as a sign of the wrath of the Valar.

However, there is a legend according to which two of the Istari, known as the Blue Messengers, became the founders of a new cult and magic rites that survived the fall of Sauron. Whether this is true or not, can never be proved. 

New information on the Maiar in Arda:

The Maiar are akin to the Valar, even though they are considered to be spirits of lesser power. Just as the Valar, they often appear in the shape of Elves or Men, and both the Valar and the Maiar are counted among the Ainur.
Before the Song of the Ainur was sung, Iluvatar’s mind had given rise to a great number of spirits who greatly differed among themselves in power and magical abilities, only 15 of them subsequently being named ‘Valar’, while many of the lesser spirits never even descended into Arda, and remained unknown to Man or Elf. Others, however, have exerted a certain influence upon the history of the world.
 

Daereth

Reference:

Valar

(derived from Sindarin ‘val’ – power, singular Vala (Valie), plural Valar (Valier)) – the mightiest of the spirits who descended into Arda after they beheld the newborn world created by the Music of the Ainur.
Each Vala or Valie had different abilities and powers because, when Iluvatar’s mind gave them life, they were also granted knowledge of that particular part of his mind from which they emerged.

Originally there were 15 Valar, but one of them, Melkor, surrendered his heart to evil and is no longer considered to be one of their kind. Out of the remaining 14, eight have more power and influence than the others, even though all the Valar are equal in majesty and greatness, and possess and infinitely larger scope of knowledge than any other Ainur.

The eight into who Iluvatar vested more power are known as the Aratar, and their names are Manwe, Varda, Ulmo, Yavanna, Aule, Mandos, Nienna, Orome.

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