Well not to let this get too far off topic, but please everyone be mindful that the term 'theory' is deliberately misconstrued by some who wish to treat evolution as divided opinion rather than fact. Gravity, relativity, and germ theory are all classified as theories. That's not to say theory is unwavering fact (what is?); science is built on skepticism and challenging and debunking theories leads to greater scientific discoveries. Note how you will rarely (never?) hear creationism or intelligent design referred to as 'the theory of creationism' or 'the theory of intelligent design'. The pushers of that doctrine have perverted the word theory to their own ends. The term theory is reserved for what they disagree with which (by definition) ironically lends credibility to their opponents, or at least steals credibility from their own line.
With regards to Cambrian radiation, fossil records aren't complete. We're talking about, as Denny has pointed out, an extensive time line of life on Earth, of which we have limited fossil records. The problem with the "God of the Gaps" argument is that it is the oldest argument in the (non-text) book. Just because we can't explain something with our current science doesn't invoke the need for a lazy "God did it" answer--it invokes the need for more scientific investigation! I suppose "we're working on it" seems like an equally weak answer to "God did it, now STFU," but if the religious are true in their stance, they have no need to fear scientific results. Everything will eventually end with God, right? Once the Cambrian explosion is figured out there will be something else for creationists to jump to, but each foothold they reach gets more precarious.
Creationists (Dembski, etc.) have been quick to jump on evolutionary biologist Richard Dawkins for a quote in Watchmaker where he says "...we find many of them [Cambrian fossils] already in an advanced state of evolution, the very first time they appear. It is as though they were just planted there, without any evolutionary history." But that quote is taken out of context, much in the same way the word theory is used out of context. Its just the preface to his probe into the possible explanations for such gaps, including macromutation. The theory of evolution is still evolving. Perhaps that is why the religious treat science in general with such scorn--religion doesn't evolve. Is it fit to survive?
To the topic at hand, though--there are several examples of why religion is unnatural. Take, for example, the disdain for the human body. If religion is natural, why is nature so reviled? The perfectness of design is very easily debunked scientifically, but religions typically debunk their own assertion in the way they (mis)treat human genitalia and the libido. Or the fact that almost every species to exist on Earth has gone extinct--that one is a bit suspicious, no?