On her web page, Denise Roper quotes some material from her book, The Lord of the Hallows:
"How in the name of heaven did Harry survive?" asked Professor McGonagall at the beginning of Harry Potter and the Sorcerer's Stone. (SS 12) This is the first of many examples of how the language of Christianity is used throughout the series. ... In Harry Potter and the Chamber of Secrets, Mr. Weasley asks, "Good lord, is it Harry Potter?" (CS 39) Draco refers to Harry as "Saint Potter, the Mudbloods' friend." (CS 223) Dumbledore even leads the Hogwarts students and faculty in "a few of his favorite carols" at Christmastime. (CS 212) In Harry Potter and the Prisoner of Azkaban the manager of Flourish and Blotts says "thank heavens" (PA 53)... and Remus Lupin says "My God." (PA 363) ... In these numerous references and in many others, there is evidence of a belief in the Christian God in the world of Harry Potter. (The Lord of the Hallows pages 69-70) [Various page numbers Roper cites include abbreviations for the relevant Potter book.]
My initial response to that is simply: "Oh my God."
For good measure, Roper adds:
[T]here are jokes about a wizard being "saint-like" or "holy" (George on page 74 [of Deathly Hallows]). That George Weasley would call himself "holy" ("hole-y") refers to his missing ear, which was cursed off during a battle with the Death Eaters. St. George was a Christian saint..."
Sorry, but that's just silly.
To take but one example, Lupin says "My God" when he discovers that Scabbers the rat is actually Peter Pettigrew. Obviously he's using the phrase as an expression of surprise, akin to "unbelievable." We live in a culture with deep Christian roots, so it's not surprising that people often use religious-sounding language in basically non-religious contexts. Tons of people say things like "God damn it," "Jesus Christ," "Christ Almighty," "Lord help us," and so on, when they don't actually intend any religious meaning.
If religious humor is enough to indicate religiosity, then I have a few to tell you about the priest who walks into a bar.
Now, it's true that the mere presence of words like "Christmas" in Rowling's magical world indicates a shared religious tradition with the Muggles. That's not surprising; the stories are set in England, and wizards do not formally segregate themselves from the non-magical Muggle world until 1689 (see page 13 of The Tales of Beedle the Bard.) But the incidental use of Christian language indicates nothing more profound than that.
Roper also makes some valid points about the religious themes in Harry Potter, but, to learn about such topics, you'd do much better to read my essay for eSkeptic, "Religion in Harry Potter." Or read my book.