John Winchester had always been a deeply religious man. He had made it a point to teach his sons to be the same, before and after their mother was murdered. Before, it was simply a go-to-church/pray-every-night sort of religion. But after, he became obsessed with God. For if all the monsters in the dark could exist, why couldn't He? And if he did exist, where was he in all this darkness? The hunter spent hours poring over the pages of his old Bible until it was falling apart. In those pages, he found more ways to kill demons and monsters than anywhere else, and over time its margins became heavily marked with notes, sigils, and theories. How could he have know that the bible was so literal?
Sam took after his father, as in everything. He was the dutiful student, reading faithfully every night and praying that his father and brother would come home safely after a hunt. The bible John had given his youngest son was kept with reverence, set on a shelf during the day where nothing could touch it. Young Sam talked of God constantly. he told Dean at one point that nothing could harm them because their Guardian Angels wouldn't let them be hurt.
John knew Sam's faith stayed with him even when he scorned his father and left for college. With him, he had taken his Bible, well worn by the years. When John went periodically to check on his son, he would find him asleep on his apartment's couch with the old Bible tucked underneath his arm, a source of comfort for the lonely boy.
Dean wasn't the same. John's oldest had never really believed. Sure he memorized the verses he was given, but it was done out of duty to his father, not faith. He always refused to lead in prayer, claiming that if God existed he wouldn't let the world be so dark. John never gave up trying to convert Dean until the day he found cigarettes hidden in a hollowed out Bible. Of course he punished Dean, but he never pushed Dean to pray again, and his lack of faith followed him into adulthood, religion becoming the only thing that ever got between father and son. Even face to face with a real angel, Dean stubbornly held on to his non-belief. Sam was pleased that he had been the correct brother, for once, but he didn't thrust it into Dean's face, because now Dean had to face the fact that his mother's death was overseen by magical beings that did nothing to stop it.
When God finally showed up, both brothers had entirely lost their faith. They knew God existed, but they had no belief in him or his angels. Well, one angel still held their trust, but there was no religion there.
John was always a religious man, but his sons weren't the same.