Walter Burkert's Greek Religion (Harvard, 1985) is a good, reasonably up-to-date survey of Greek religious belief; His Home Necans contains important insights into the nature of Greek sacrifice, tracing it back to ancient hunting rituals. Also informative are his Creation of the Sacred, Ancient Mystery Cults, Lore and Science in Ancient Pythagoreanism.
For an insightful retelling of the myths I recommend Carl Kerenyi's Gods of the Greeks (Thames & Hudson, 1951), which has a Jungian slant, but has excellent citations for the sources of the myths. Also worthwhile are his Heroes of the Greeks, Dionysos, Eleusis, Hermes, Prometheus, Goddesses of the Sun and Moon, etc. etc.
M. L. West's books: Early Greek Philosophy and the Orient, The Orphic Poems, Theogony, have a wealth of scholarly information if you want to delve deeper into the roots of Greek religion.
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