It is harmful to believe that your deity, or some other cosmic imperative, commands various body modifications (circumcision, genital mutilation, foot-binding, wearing all-over body-coverings that give you rickets, etc.) or that it is cosmically necessary for women to be second-class citizens, or not to use contraceptives, or to be stoned to death for adultery. These are all features of fundamentalist religions that believe they know what God's will is, and want to take the least possible liberal interpretation of books written hundreds of years ago in another culture as divine commandments for how to live. This attitude stems from a fearful, narrow and legalistic perspective on what religion is, and a basic pessimism about human nature. Not all religions do believe in this sort of thing; it is not a necessary or sufficient feature of religion.
It is harmful to think that your religion is the only truth (Christianisme, je t'accuse) and that adherents of other religions must be forcibly converted or die. Fortunately this attitude is increasingly a minority view (albeit held by a vociferous and powerful minority), as is well-attested by the growth of interfaith dialogue and religious tolerance generally.
A much more subtle problem is that when one is with a group of like-minded others, working on inner issues, one lowers one's guard, and can often be too trusting too quickly and then get hurt. I guess this would also be a problem in group therapy or amateur dramatics. I think this danger is outweighed by the benefits, but it is something that should be carefully guarded against.
- Experiencing a sense of community with like-minded others
- Rubbing off the corners in social interactions (in grove, church, coven, sangha, etc.)
- Being able to band together with others to bring about positive change in the world (of course this can also be done in secular contexts)
- Being able to meditate and sing and do ritual with others is more effective than doing it on your own
- Having a shared sense of meaning and a shared set of symbols
- Sharing one's sense of awe and wonder at the Universe
- Finding out about poetry and spiritual texts that one otherwise might not have found out about (this is certainly true of Unitarianism, anyway, where a wide range of readings from poetry, science, world religions and so on are welcomed and encouraged)
- The opportunity to know some really wonderful people
- Being able to share one's problems
- Finding your "tribe", the people you click with