I think these are really interesting questions, although not all of us might be totally comfortable talking about them. For myself, I don't mind at all. Here are mine:
Race/ethnicity:
I try to make the demographics of my neighbourhoods reflect their supposed locations. I like to start off with a demographic that is fairly typical of the area (at least according to my own understanding) and then see how it shifts/develops with each succeeding generation. For example, in Sims 3 I decided that my Paradise Island would be set somewhere in the Caribbean, so I had a large number of black families, along with some white families. I played them all. I played Derielle (a custom world) as a mini New Orleans, so again I had a mix of white and black families. Many of the white families were of Creole or Cajun origin and had appropriate names.
Gender orientation:
Most of my sims are straight, but I always create some same-sex couples for variety.
Religion:
I am not terribly religious myself, but (oddly enough) I usually put a church somewhere in each neighbourhood, for no real reason other than that I just like building them. In Sims 3, I would classify them either as hangouts, or (sometimes) use them as the focal point of a graveyard. My sims don't have their own religion - I usually assume that they are either Christian or agnostic, although I did have a Voodoo priestess in Derielle.
