Stannis says to Davos (A Clash of Kings, chapter 10 (Davos I)):
I stopped believing in gods the day I saw the Windproud break up across the bay. Any gods so monstrous as to drown my mother and father would never have my worship, I vowed. In King’s Landing, the High Septon would prattle at me of how all justice and goodness flowed from the Seven, but all I ever saw of either was made by men.
So he definently lost his faith for most of his life. Eventually his wife and many in his court became worshippers of the Red God, and he began taking counsel from the Red Priestess, which led to doing more and more Red God-worshippy stuff. Later he seems to be more and more eager to do sacrifices to the Red God, although that seems to be more for personal gain than devoutness.