Forget The Golden Compass! If you want to see a movie questioning the significance of religious belief watch The Invention of Lying with Ricky Gervais, who stars in it, produced and directed it.
Gervais is the first and only person living in a world where everybody can only tell the truth, who discovers he can lie. At the moment his mother is dying he decides to tell her about afterlife—obviously, he is lying. Others accidentally overhear him as he describes the pleasures of living in heaven and insist to know more. I’ll stop here.
Not exactly a Woody Allen movie, nevertheless, worth watching.