A cosmopolitan city, Oxford has a religious diversity to match. Looking at buildings, there's the Oxford Jewish Congregation synagogue in Jericho, a new Sikh temple in Headington, the large central mosque off the Cowley Road, a smaller Bangladeshi mosque, and more. Daily Info has a decent religion and worship in Oxford page.
There's plenty of variety in Christian denominations: there are Seventh Day Adventists on Iffley Rd, the Quakers have a Friends' Meeting House on St Giles, there are Russian and Greek Orthodox churches, a full network of Catholic parish churches, United Reformed Churches and Methodists (Oxford is where Wesley started Methodism) and other Protestant groups.
But the Church of England is the established church and, quite apart from its high level connection with the state, remains integrated into the fabric of the community. The primary schools are often named after the churches they were originally run by (Mary and John, Phil and Jim's) and the parish often provides a fairly general local community centre and newsletter. I'm told there are some more evangelical and pentecostal parishes, but mostly Oxford remains rather high Anglican. The legacy of Laud and Newman is still visible - one of the landmarks shown to tourists is the cross on Broad St where bishops Cranmer, Latimer and Ridley were burned to death under Queen Mary. Being full of students and academics, it's also rather liberal.
At the end of last year we went to an Advent carol service in the cathedral (which exists as a weird dual foundation with Christ Church college, thus giving my sister a role in choosing the next Dean) and then to the christening of a friend's infant daughter in the chapel of Worcester college, where the minister managed the adroit feat of reaching out to the largely secular audience while remaining (as far as I could tell) theologically consistent with the Thirty-Nine Articles.
There's also an extensive community devoted to the academic study of religion. As well as the Faculty of Theology and Religion, there are independent centres for Buddhist Studies, Hindu Studies and Islamic Studies, as well as an independent Centre for Muslim-Christian Studies, the Catholic Blackfriars (Dominicans) and Greyfriars (Franciscans), and so forth.