If Jake and Elwood Blues taught us anything -- and I think you'll agree they taught us many things -- it's that you can be religiously devout and still have a good time.
Now, The Blues Brothers is not a religious tract, and the Blues brothers are not exactly saints. The film does have a slight smirk to it. But it's also an exuberant and joyful movie in which the protagonists earnestly strive to do something selfless and good. They say they're "on a mission from God," and they truly believe it. They wear dark suits and ties, they always travel as a pair, and they don't have time for women. Put them on bicycles and they could be Mormon missionaries.
John Belushi gets first billing in the movie, and it's his character, ex-con Jake "Joliet" Blues, who has the religious epiphany that drives the action. We're first introduced to him as he's released from prison, emerging as if from a tomb, bathed in an ethereal glow of light. I don't want to make too much of it -- I suspect the main idea was to present the very popular John Belushi in an exaggeratedly portentous fashion -- but I can't be the only one who thinks of Easter here.