(Oi!! Damn WINDOZE to the fiery depths of Heck. Yucksy late postings.)
I really feel like the only way I can connect Grizzly Man to anything even remotely religious (in the usual modern sense) is to see his desire to "become one" with the bears as akin to the way that followers of a religion want to become one with God, in some way. In other ways, I think it may be more similar to the Buddhist desire to achieve Nirvana, to become deeply tied to the natural world.
But in any case, something drove this man to do things that common sense says are impossible or stupid. In future generations, this may even become the foundation of some sort of organized religion -- to me, it parallels martyrdom. It's as if some sort of religious drive, or directive from God, told him that it was his duty in life to be as bear-like as humanly possible and then share the teachings with the people, blah blah blah.