Hershel Greene is a strong Christian and believes the zombie apocalypse could be the '7 Years of Tribulation' described in the Bible but does not understand why God didn't take a Christian like himself to Heaven before the Apocalypse began. (Comic Series)
T-Dog drives a church van in an attempt at rescuing elderly people in the time between the walker outbreak and his first scene on the series. It is implied that he has Christian beliefs and takes them very seriously.
Rick asks guidance from God at the same church, also stating that he was "never much a believer". (What Lies Ahead)
Hershel Greene mentions being Christian and says, "I can't profess to understand God's plan. Christ promised the Resurrection of the Dead. I just thought He had something a little different in mind." (Beside the Dying Fire)