Artillery have good Fire values, but Fire efficiency/modifier is kinda low early on. You could add a few units, especially if you have generals with good Fire modifiers. I wouldn't count on them much until you have a good mod value. Those values depend on tech level; you can see them at
http://www.paradoxian.org/eu3wiki/Tech_tree . (That's also why Cavalry are so prized very early on, because they have a huge shock mod compared to Infantry, so they're much deadlier in the shock phase.) As far as I know those mods are basically multiplied onto the units' base stat (and then further multiplied by discipline) to determine real combat effectiveness.
As far as religions, each one has different modifiers. You can hover over the icons in provinces to see them. Generally Protestant is considered the best since it gives +tax and +production. Reformed is great for small countries that do a ton of trading (-tax, +trade). Catholic is only really good for Colonizers, but also only catholics can become the Papal Controller, which has it's own modifiers (to prestige and such).
As far as the HRE, you can demand religious unity to anyone who switches. They'll either give in and switch, or refuse and then you can force them to convert in a war. Getting them to switch either way will give you 10 authority each. So you can end up generating a lot of authority, which can help get reforms pushed through. It works the same if you convert too, so you can demand the Catholics convert with you and such. Having different religion will kill your relationship with other countries, so it's best to start with converting the electors, imo.
After 75 years the random province conversion events will slow down to almost nothing, so take advantage while it lasts imo.