I've heard that as the Romans you have to switch to Christianity. Is this true? Is Christianity the best religion?
None of the religions give any distinct advantages over each other, save the bonus's from the temple buildings.
With religions, you first want to have each settlement dedicated to the religion which is the strongest in it in the start. Later on when you have cleared most of the other problems you can start converting cities into the religion of your faction leader one by one.
"I'm going to tell Allah everything..."
Dead three year old Syrian childs last words
I reckon Lombard/Alemanni/Burgundi berserkers also requires a religious building, but not sure about that one since I haven't played their campaigns.
BI has two major religions Christianity and Paganism...To convert to one of them you must build in each city the appropriate shrine.Each religion has its own advantages and disadvantages.Now if you like for example christianity and you occupy a barbarian city , you must RAISE to the ground its primary religious shrines and build your own.For instance suppose you have ERE and play against Sarmatians.If you occupy after siege a sarmatian city which already has built its own shrines if you want to convert this city to your religion , which is christianity you must raise all of its previous shrines and build your own church.
A uniform religion in your empire is usually harder to enforce then to meet the victory conditions. (there are exceptions and who doesn't have a choice: like ERE or Sassanids)
As for religion, don't only consider the buildings impact, but the additional things as well. Christianity for example has good bonus buildings, but will litter your governors with bad traits and junk ancillaries.