Of course, a good religion on its own doesn't resolve the game - try to form a strategy for the type of victory you want, and tailor your religion accordingly, then use its early formation to spread it as widely and as aggressively as you can.
As if that weren't enough, their unique replacement for the Spearman, the Pictish Warrior, generates Faith from each enemy unit it slays. With careful placement of their first two or three cities, they will be able to found a religion before Turn 30. This means they can form a Pantheon as early as Turn 5. Their unique ability produces Faith from every city bordering an unimproved forest, and their starting bias usually puts them in large forested areas. One of the new civilizations added in the Gods & Kings expansion, the Celts are one of the masters of religion, and will typically be the first founders of a Pantheon (unless someone stumbles upon a religious city-state early on).