Have you been asked this question? And, how did you answer it?
For a Jew, do you answer Orthodox, Reform or Conservative Judaism? During 2nd Temple period, there were Sadducees , Pharisees, Essenes, and Zealots. For a Muslim, do you say Shiite, Sunni or otherwise? But for Christians, there are even more classification like, Catholics, Protestant with different denominations or separatist-exclusive churches. A number of people may say Roman Catholic while others would say Greek Orthodox, Evangelicals, Seventh-Day Adventist, Latter-Day Saints(Mormon), Sabbath-keeping churches, etc. Religion worldwide shares a commonality of having variety of sects.

Why all these differences?

Going through history of these divisions, it all comes down to how the human leader of that sect understands the original teaching of a particular religion and its evolutionary aftermath. And, this understanding comes by “progressive revelation”. That is, by what God wants us to know at a particular point in time, through the Holy Spirit that guides us to the truth. Notice Peter when asked by Jesus in John 15:16-17, “But what about you?” he asked. “Who do you say I am?” Simon Peter answered, “You are the Messiah, the Son of the living God.” Jesus replied, “Blessed are you Simon son of Jonah, for this was not revealed to you by flesh and blood, but by my Father in heaven.” This truth that Jesus was the Messiah, did not come from humans but from the Father through the Holy Spirit. And, this Holy Spirit was given for the first time, in a general applicability, in the 1st century at Pentecost. Considering that decision-making to take action is engendered by one’s unique experience, it is not illogical for one to move in one direction and others toward another. Differences in processing mentally what was taught and interpreted are a given. 

What History has shown?

In the current era or C.E. that we are in, we have general knowledge of the specific issues that differentiate one belief-system with another. Assuming that all are well-intention, people, nevertheless, disagree with specifics. Take for instance, in the religion of Christianity in the 4th century, Christians were divided as to the truth of Trinitarian concept of God (1). Those who followed the teaching of Athanasius subscribed to Trinity codified in the Athanasian or Nicene creed. Equally passionate were the followers of Arius who denied this concept. They eventually excommunicated each other at different times depending on who had secular-religious control of the Roman Empire, that they are allied with.
The schism “came to a head in the 16th century, when a Roman Catholic monk named Martin Luther posted his 95 propositions (or theses) against the teachings of the Roman Catholic Church on the Castle Church door at Wittenberg, Germany. Underlying the Protestant Reformation lay four basic doctrines in which the reformers believed the Roman Catholic Church to be in error. These four questions or doctrines are: How is a person saved? Where does religious authority lie? What is the church? and what is the essence of Christian living? In answering these questions, Protestant Reformers such as Martin Luther, Ulrich Zwingli, John Calvin, and John Knox established what would be known as the “Five Solas” of the Reformation (sola being the Latin word for “alone”).”(2).

Different interpretation of what is right can even be traced to the time of Abel and Cain as far as what offering would be acceptable to YHVH-God. Both have their own understanding of what offering would please God. One was accepted, the other was rejected. This led to the first murder in the Old Testament (3). Earlier than that, in the garden of Eden, there was already misinterpretation (Gen. 3:1-4). While God wants us to be “like him”, the understanding of Adam & Eve to achieve this, on their own, was also flawed. As far as God is concerned, to be “like him” has to be by grace and not by our own works, so no one can boast. Because of Adam’s sin that was imputed to all, it has to take the death of Jesus (the actual Creator YHVH) to reconcile humanity to the Father. And, for him to be resurrected so the Holy Spirit will be given to dwell in us. Had the Father not resurrected Jesus, the Holy Spirit would not have been given to him and then to us(John 16:7).With that gift of spirit-power, we will then be guided to do what is right and be “one” with him and to be “like him“. Gentiles who do not have the Law (Romans 2:14) and non-believers, can follow the Decalogue on their own, without the guidance of the Holy Spirit. Having our own righteousness is still as “filthy rags”(Isaiah 64:6). Human righteousness has to come as “fruits of His Holy Spirit” (Galatians 5:22-23) in and guiding us, as far as God is concerned. It has to be His righteousness that comes from his Holy Spirit, not our own works. Israel, as a nation, Judaism and Islam (as a religion), sought this fallacy of perfection by following the Law on their own. Similarly and to his dismay, Job who was “perfect” on his own way, found that being so was not enough, “…before I hear you, now I see you“(Job 1:1; 42:5). In New Testament times, we are reminded that Paul and Peter as well as Paul and Barnabas (Gal.2:11-14) had differences in the way they understood their calling; the understanding of Paul prevailed (Acts 15:22-28). And through the years, humanity has to use own faculties to discern what is right and the truth. It is no wonder, as there are different people so will there be differences and a variety of sects.

How then should one answer, What is your religion?

From the Bible, one may get some direction by considering the “seven churches” in Revelation Chapter 2-3. Notice that they are all, undoubtedly, “churches of God” but identified as to where they are, e.g. Ephesus through Laodicea. Moreover, all of them have differences, yet all are accepted and acknowledged to be “churches of God”. Each of these “churches of God” are different from one another depending upon how their human leader understood God’s teaching and their capacity to follow. From this observation, it appears to be alright to answer the original question as “I am a member of the Church of God”. Alternatively, one may continue on how the early believers were first identified and called as in Acts 11:26 at Antioch. One may answer, “I am a Christian“, without having to be exclusive or specific, as differences in understanding the truth is by “progressive revelation“, to God’s glory. This stance takes away an aura of superiority or invincibility in being specific that may amplify sectarian division. Just remember, while not yet, we are are anticipated to be “one body”, unified and not divided. 
God Bless.

References:

1. Gill, N.S.,The Arian Controversy and the Council of Nicea. Retrieved Sept 26, 2016, from http://ancienthistory.about.com/cs/godsreligion/p/aa082499.htm
2. Where did the Protestant come from? Retrieved Sept. 26, 2016 from https://answers.yahoo.com/question/index;_ylt=A0LEVxLUZedXiZcAYFjBGOd_;_ylu=X3oDMTByaWg0YW05BGNvbG8DYmYxBHBvcwM4BHZ0aWQDBHNlYwNzcg–?qid=20080115070247AAV1ZIR&p=how%20Protestants%20came%20about%3F
3. Cain and Abel. Retrieved Sept. 27, 2016 from https://en.m.wikipedia.org/wiki/Cain_and_Abel