The different shades in colour represent which branch of a religion is the majority. For Christianity, the deep blue is for Catholic, the light blue for Lutheranism, the blue-violet for Orthodox, the deep purple for Protestantism, and the magenta-blue is for other. For Islam the lighter green is for Shia and the darker green is for Sunni.
Hmm, maybe I set the bar a little low for this one, especially for Christianity. Making a new one wouldn't be a bad idea, either that or if I counted the different religious branches (Catholicism, Orthodoxy, Sunni, etc.)