It may not be something you've spent a lot of time discussing. Regardless of your current religious practices (or the lack of) each of you was probably raised with and exposed to certain beliefs and those principles may still be somewhere deep inside. They may also play a role in your future, when there are children to raise, or a period of crisis.
For the short term, you might also want to think about the religious beliefs of your loved ones. What do mom and dad, or grandma think about the importance of faith in a marriage? Do they consider it important? Is that going to be an issue? Do you want extra upset or hassle about your wedding?
It's usually easier to deal with these issues than you might think. The first step is for the two of you to decide a couple of things:
1. What does each of you really believe? Is there a God? What are the guiding principles in how you live your life? Do you have faith in some set of beliefs? How do you feel about religion?
2. Now that you've thought about your own beliefs, how similar or different are they from your partner's beliefs? Will both of you be able to continue your current beliefs within the marriage? Will any compromises or accommodations be required? Who will make them?
3. How will all this effect your families? What do they believe? How will that effect you?
These can turn out to be big issues. Don't just assume you know the answers! Talk about it in detail, so each of you knows where the other stands. Once you're comfortable at that level, the rest will be easy.
One of the first issues is what sort of wedding you will have. Will it be in a church? What church? If not actually in a church, who will perform the ceremony? A minister? A priest? A Rabbi? An Imam? A judge or justice of the peace? Fortunately, in today's world, any one of the above choices is usually available. If you want to be married in a house of worship, they may require that you take certain steps to become members of their group, before the wedding.
But more and more people are now choosing to have their weddings in other places. You can be married at a hotel or country club, in a park, on a beach, or at your own home. In almost every part of the country, there are independent "wedding officiants" who can perform the ceremony at the location you choose. Some of them are ministers or priests, some of them are civil appointees. By checking around, you'll discover you can have almost any type of ceremony you wish, at a place of your own choosing. (And, it's easier on everyone to have the ceremony and the reception both at the same place!)
You can go directly to an officiant at sites like http://www.churchofancientways.org/ in New York, or www.geocities.com/falonmoon/sacred_words.html in Florida, or http://www.weddingceremoniesmi.com/ in Michigan. And there are hundreds more across the country. For nationwide directories, try websites like the American Association of Wedding Officiants (AAWO), or the National Association of Wedding Ministers (NAWM), or maybe Interfaith Officiants.com For strictly civil ceremonies, check with your local county or municipal government.
You can have a beautiful wedding ceremony that combines elements from two or more religions (interfaith), you can have one that involves God and universal religious beliefs without reference to any specific religion (non-denominational). There are also ways to do a very romantic secular (non-religious) ceremony without resorting to one of those dry "civil" ceremonies. These days you can find a "wedding officiant" (someone legally authorized to perform marriages in your state) for whatever sort of ceremony you would like-- you just have to look around, and then talk to them about what you want.