According to data from the 2010 U.S. Religion Census: Religious Congregations & Membership Study, Indiana is the 33rd most religious state (44.33% of the population are members of a religious group, calculations are my own). That's slightly less religious than Virginia (44.83%), but more religious than Ohio (43.96%). Of course, It's not so much how many religious people there are in an area that shapes its culture as it is what type. So I'll be breaking the data down by religious group. I'll also be going down to the county level, since the state level is too broad. For example, where I live in southern Indiana is significantly more religious than some other areas, and the mix of religious groups is very different. There's a higher proportion of evangelical Christians here than in other parts of the state where mainline Christian groups are stronger.
Below is the full data used. The last three columns (only one line of numbers) are simply totals for the US as a whole: total adherents, total population, and adherents as a percent of population.