To clarify, I mean what their practices were, what they were for, etc. Something more scholarly besides just the facets of the myths we do know, but what they meant to the Greeks in some deeper significance; e.g.: like the myth of Theseus and the Minotaur might've been an allegory for the relations of continental Greece to the Minoans of Crete.
Greek Religion by Walter Burkert is one of the best works on the subject. Burkert died about a year ago, but was pretty much the name in the study of Greek mythology and religion.
Most of our information about Greek religious practices comes from references to practices in texts that are about something else. For instance, mentioning a festival in a tragedy. Remember that to the audience of these texts, common practices were common knowledge and didn't need to be explained. Consider how an Israeli today wouldn't need to explain the history of the Sabbath, only to mention it was Friday night, and an Israeli audience would known the context.
Bremmer and Burkert, mentioned above, are good sources for Greek religious practices.
Best thing we've got at the moment is Herodotus's Histories although it is not great it is something