Just the ones that have been shown so far I take it? (Because, while I may not like them, I imagine a number of the people here would be willing followers of the Many-Faced God)
In my case, I would prefer the Old Gods. They have very real physical manifestations in the world (heart trees), they are the best sources of defense against the Others, and their followers, northerners and wildlings alike, seem to know what's up.
For instance, notice how out all the explanations for the comet, (Lighting Dany's way through the desert, signaling Joffrey's triumph, signaling Stannis's/The Lord of Light's triumph, signaling X individual's triumph, etc.), the explanation Osha (The wildling woman who is in Bran's service) gives (that dragons have returned to the world) is the least self-serving, most prescient (dragons have actually returned to the world, despite there being no way of Osha otherwise knowing this), most logical (comet is a natural effects of the dragons returning to the world, rather than the will of one of the deities of the many conflicting religions, or a signal supposedly sent by some self-aggrandizing magic users (not yet seen), etc.). Given then that this is likely the best explanation, this would seem to indicate that the way of the Old Gods is somewhat more grounded in reality than the self-aggrandizing proclamations of the other religions, which somewhat endears it to me.
I would follow either R'hllor or the old gods of the North, since they seem to be sort of intertwined anyway. I mean, if R'hllor represents fire and the Other represents darkness -> the Others beyond the wall can only be killed with fire (or dragonglass). Anyway...personal theory
I don't think that the Drowned God serves no purpose within the novels; the religion shows that the Iron Islands are despairingly cruel and hard even in their worship, and it also demonstrates how much they crave to be recognised as unique and separate from the rest of Westeros. Having said that, the Drowned God doesn't altogether push my buttons a great deal.
Being pagan myself, the Old Gods that are served mostly in the North and Beyond the Wall appeal to me, because the beliefs involved are much like my own anyway. Also, I find in the books that these have a strong sense of manifestation for the followers, unlike the distanced Seven.
R'hllor scares the s**t out of me, and the way Melisandre manipulates King Stannis is vile - any religion that condones those sorts of mannerisms is unattractive to me. That shadow child... Ew, no thanks.
I do like the Seven, though. Yes; the religion is quite similar to Catholicism, however we shouldn't really allow perspectives on our own Earthly religions to warp the fictional ones (ooh, controversial fictional religions...). The followers and practitioners seem genuine, and the preachers and septons are quite agreeable.
Now I kinda like the Faith of the Seven, mostly because it's supposed to be a stand-in for Christianity. But I prefer the Old Nameless Gods because they feel more real, like they're the ones who are truly part of the world, also they're the Gods of the Children of the Forest so there's that
The Septs sound like Catholic cathedrals, with incense and singing and septons to help guide followers and such. Especially with the Trinity/Seven being facets of one god. The only difference is that the Seven aren't intent on exterminating other religions in Westeros and the Free Cities. I could deal with this because this how I grew up, but it wouldn't be my first choice.
The Drowned God seems completely stupid; like it was added in to the story as an afterthought so the ironmen could be more unique. His story is nonsensical to me. What is dead may never die? Wut?
Rhollor's followers are ******** insane. Effective and powerful, but insane. Not sure how I feel about this one, especially since Melisandre is intent on destroying all the other religions in Westeros to make this one the only one. Sounds very Medieval-to-Modern Abrahamic and very pushy, do not like.
The Drowned God is a throw back to certain querky and mostly unknown Viking rites mixed with H. P. Lovecraft's mythos and just everyday pirate routine.
"Cut their throats and throw them overboard"
The Old Gods (weirdwood or heart trees) IS with no doubt the best religion.
It's the only religion that seems to have no priests, no churches and no one forces you to do or believe anything.
OH my , oh my! I sort of wish this was the new scientology I think even I would join a religion like this.