Christianity  A monotheistic religion, the belief that one god created, and will save the human race.  Pretty well known.
Gnosticism  The teaching based on Gnosis, the knowledge of transcendence arrived at by way of interior, intuitive means. For a better explanation, go to http://www.gnosis.org/gnintro.htm.

Judaism Similar to Christianity in ways, (christianity sprung from Judaism), but still vastly different.  Most of the references in Eva are Kabbalic.

A Cross A cross appears numerous times throughout Evangelion, usually during the explosions.  In Roman times, a cross was the most painful way of execution, and one of the most popular.  It is the way that the Christian savior, Jesus Christ, was killed.  Three days after his death, he rose, and for 40 days he walked the earth, until he ascended to Heaven.

Stigmata  During End of Evangelion, the stigmata appears on Shinji.  Stigmata are scars or marks that represent the nails and stab wound that were dealt to Jesus.  Two marks on the palm, or wrist, and one on the side.

Gaf's Room Fuyutski mentions something about Gaf's Room, and how it is empty.  Gaf's Room was the place in Heaven reserved for the souls not yet born into the world.  Maybe he was suggesting, that humans are no longer going to be of the world, or maybe he was a little schizo, whichever way floats your boat.

Sephiroth System Ok, the Path of Sephiroth was shown many times in the series.  During the opening credits, on Gendo's ceiling, and Eva-01 formed it in the sky.  In Kabbalah, the Sephiroth System, are 9 spheres and 32 paths that lead to God.  The spheres can be considered the attributes of God.  This is very deep, and I'm definitely not an expert on it.  It is, however, very interesting.  I suggest a book called Mystical Qabbalah, which explains this very well.

Lance of Longinus According to legend, while Christ was hanging on the cross, a lance was plunged into his side.  From the wound, water flowed onto the wielder, Longinus, a blind soldier, who was instantly healed.  From then on, Longinus became a saint, and his lance became a holy relic.  The lance has a legend attached to it, it is said whoever holds the lance, and understands its power, will never fall in battle.  It is associated with many famous names.  Charlamegne is said to have carried it through 47 victories, until he dropped it and almost instantly died.  Barbarossa is said to have dropped it while crossing the stream.  Many other famous leaders are associated with it, and most recently, Hitler.  Hitler had it stolen from its resting place in Vienna, and hidden away in a vault.  It stayed there, until American troops liberated the vault, took it.  80 minutes after the Lance was seized, Hitler committed suicide.  It presently resides in a museum in Vienna.

Angels Angels are associated with many religions.  Most well know with Christianity.  They are the warriors, and messengers of God, and are different from Humans.  No, humans do not become angels when they die.  Angels were not given the gift of free will, and they serve God. In Evangelion, they are the enemies, but their role as messengers carries significance also.
Adam Adam was the first human, in both Christian and Judaism.  He was created from the ground, and was given the breath of God.  He resided in Eden until he ate of the Fruit of Knowledge, and was cast out.  In the bible, god warns that man must not be allowed to eat of the Fruit of  Life, and become like him.

Lilith  In Judaism, Lilith was the first wife of Adam, but was thrown out when she bore children, and all of her children were killed.  She became vengeful, and sexed up every man she could, to spawn more demon children.  It is said that she still tempts men today, and goes around at night to have them and murder them.

Magi This one isn't too hard.  The Magi were the three kings who visited Jesus when he was born.  They followed a bright star, which led them to the child.  In the series, the Magi were the three super computers that Nerv relied on.

Lilim The Lilim were the demon children of Lilith, who were killed a bunch of times.  In the series, humans are called the Lilim.

God Woo, this ones a doozy.  God isn't mentioned in the series too often, and I recall it being said that he had punished humanity harshly.  Well, I really don't want to explain the concept of God here, so consult your local priest/rabbi/cult leader for info.

Fruit of Knowledge The Fruit of Knowledge was the fruit that Adam and Eve ate, and became aware of themselves.  For this they were thrown out of Eden.  Humans are said to have the Fruit of Knowledge in the series.

Fruit of Life The Fruit of Life was another kind of divine attribute.  God said, that humans must not be allowed to take both the Fruit of Life, and the Fruit of Knowledge, and become like him.  The fruit of life is personified in the series as the S^2 engine, which the angels have.  Eva-01, containing the fruit of knowledge, devoured an S^2 engine, the fruit of life, thus becoming like god?  This is kinda up in the air to your interpretation.

Marduk In the series, Marduk is the organization that selects children to pilot Evangelions.  In Sumerian mythology, Marduk is the son of Ea, and leader of the gods. He was a fertility god, but originally a god of thunderstorms. His consort was Sarpanitu  According to Enuma Elish, an ancient epic poem of creation, Marduk defeated Tiamat and Kingu, the dragons of chaos, and thereby gained supreme power. Acknowledged as the creator of the universe and of humankind, the god of light and life, and the ruler of destinies, he rose to such eminence that he claimed 50 titles. Eventually, he was called simply Bel, meaning "Lord".  I have also heard that the was a god that people would sacrifice children to (which would make a lot of sense).