what religion?

The central characters of Big Love are not "Mormons," or more properly termed, Latter-day Saints.
Since polygamy is often associated with the Mormon religion, despite the fact that the Mormons have long-since banned the practice HBO has said the script makes it clear that members of The Church of Jesus Christ of Latter-day Saints don’t practice polygamy. Still, placing the series in Salt Lake City, the international headquarters of The Church of Jesus Christ of Latter-day Saints is enough to blur the line between the modern Church and the program’s subject matter and to reinforce old and long-outdated stereotypes.