Very popular in Rome in the centuries leading up to the spread of Christianity were mystery cults - the closest modern comparison is probably scientology or the Freemasons. They tended to revolve around the worship of a particular deity, and you'd be allowed to know more about it as you moved up through the ranks - they varied as to how secret or open they were, and they could at times be illegal, generally when something went wrong and the authorities needed a group to blame. Before it became widespread, Christianity was often understood as yet another mystery cult, albeit one derived from the religion of the Jews, and in fact there are parallels in terms of structure - baptism as a rite of initiation, and the Eucharist, a special meal only available to the initiated, which was a standard feature of a mystery cult.