PLoS Biology reviews Why We Cooperate:
What makes us human, what sets us apart from other animal species, and which traits do we share with our closest living relatives? Ever since Darwin introduced the notion of continuity in his theory of evolution, humans have been obsessed with the question of how to distinguish themselves from all other species. In the postwar period, our species became known as "Man the Toolmaker," until in the 1960s Jane Goodall watched chimpanzees using sticks to fish for termites, and that was that. We then distinguished ourselves using the term "Man the Hunter," but the discovery that chimpanzees and other social carnivores engage in coordinated hunts refuted this type of collective action as the one decisive feature. More recently, the issue of culture has entered center stage. Trying to distinguish the cultural "haves" from the "have-nots" tends to generate more heat than light, and it seems much more productive to think about the cognitive prerequisites for social learning, attribution of mental states, and symbolic communication.
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I realize that religion has a lot of negative connotations, however, it's about the only activity that I cannot say I've heard of in any other species. It would be interesting to find that behavior, though, if it does happen. For all I know whales do it.