How do I choose a religion?

My mother and father divorced right after I was born. Due to that fact I never could really fit into a religion. You see, My family has several religions. My dad's side is mostly Jewish. My mom's side is a mix of Christian and way back a couple generations I have ancestors that were Muslim. My mom briefly took me to a Lutheran church once in a while. I also celebrate Christmas. On my dad's side we celebrate Hanukkah and the Jewish new year. Over the years I have grown up without a faith. I would like to have a religion because not having one is awkward. How do I choose a religion?