Why so many curses have religious references?
Wow, that's an intriguing question, and I'll wager no one really knows the answer. But here's my two cents...
Surprise (especially shock) and anger are extreme emotions, so it's probably natural for people to reach for extremes in expressing their feelings.
But why not say "Universe damnit," or "Holy volcano"?
I suspect it has something to do with the fact that volcanoes and galaxies are very remote, while one's god is a more personal thing.
It's interesting that the Bible prohibits people from taking God's name "in vain," so this custom is obviously very old. It would be interesting to know if people who follow other religions make similarly "blasphemous" statements.
Anyway, what I wrote above is a personal theory, rather than a qualified answer. I suspect one would have to dive into psychology, theology and linguistics to find an answer.
My guess is that these arise from literal curses -- supplications to God to smite the offending party. Eg, "May the Almighty smite you down!" This wasn't a simple "Gdammit!" expletive but, as I said, a literal request that God intervene, spoken with full religious fervor.
Over time such curses became less literal curses and more simple expletives -- the speaker was no longer literally praying to God to smite his enemies. This had the odd effect of turning a "legitimate" curse into a case of taking the Lord's name in vain, and hence there was a tendency to "mince" the oaths, causing them to less resemble literal curses (but, oddly, not always entirely eliminating all mention of The Almighty).
As to why so many are needed, well, there are a lot of things to curse about, and using the same curse over and over gets to be rather tedious (as one often finds out when working with someone whose every third word is "fucking").
This is a cultural artifact, in my opinion.
Look at Japanese curse words - I can't think of a single one that has to do with religion or the divine. Instead, they have to do with dying ("Why don't you just die?") and bodily functions ("Eat shit!"). I'd be happy to be proven wrong with a "god smite you" in Japanese, but even with one or two the base rate of occurrence is markedly low.
This means to me that this is a cultural influence of Christianity. This is really interesting, and if anyone has any references on this topic I'd love to read them.