So if you want a sort of social history approach to Greek and Roman religions I'd recommend the Classical World Series books : Religion and the Greeks (Garland) and Religion and the Romans (Dowden) because they're short but up to date and respectable, and provide a great bibliography once you've identified areas of more interest.

But if you want to get an understanding of the mythology and concepts of divinity of the Greek and Roman worlds I'd probably go right ahead and read The Odyssey. It's a lot more interesting than any modern academic (no offence to any on this thread) and gives a fascinating taste of how the Greeks conceived of the divine world. I mean, there's obviously a lot more classical literature you could read as well (Ovid's Metamorphosis or Vergil's Aeneid for Rome, The Iliad or the Greek tragedies for more Greek religion, Lucian for a humorous Greek view of Rome), but I would strongly recommend The Odyssey as a first port of call.