I grew up in a religious household - but one that was still governed by rational thought as well (not driven fundamentalism or literalism), as my dad is a physicist. While their views on evolution, etc. are firmly set in the 21st century, they were (funnily enough they've changed with age) fairly social conservative. My two brothers and I grew up to have pretty much totally opposing views with regards to religion and politics - which makes discussions over dinner always interesting and fun.
What I'm trying to say is not that the fact that your parents are religious is necessarily the problem (n.b. I'm a declared and open total atheist). It sounds more like they haven't learnt to accept that you are (or are becoming) your own man. Some religious (and ideological) communities don't encourage that as it questions their perceived right to control (your) social behaviour.
Now as we all know, I've often criticised you for rather your unreconstructed and aggressive views on a number of social issues - and when put in context what you've just told us about the way your parents treat you, they make sense: it's OK to rebell if you perceive their views as overly restrictive.
The problem is that their pressure on you may have contributed to you on occasion going over the limit of rebelling accepted within society. That's why I think restrictive education tends to foster the opposite of what it's supposed to and therefore ultimately often fails.
What are you to do? I'd try to show my parents the respect you want them to show you. You may never be able to do things you wish you could - but as you expect them to respect your choices, so will you have to respect theirs. Show that respect, seek independence (ie. a job, etc.), be honourable, but stand up for what you think is right - and defend it respectfully if you have to.
They may never understand that (nb. life isn't fair), but at least one side in the relationship will be based on respect and tolerance. That is pretty much being your own man - sometimes in the face of opposition. You can take that further by raising your children in a more respectful and understanding way. Nothing wrong with being religious (or atheist) in the course of that - just leave your own kids the choices you wanted for yourself.
As for sex - it was tradition in my family (as set by my brothers before me) to tell my parents when we lost our virginity. That possibly comes closest to what you said about your father. I can tell you that wasn't a comfortable conversation - yet it showed my maturity in face of their opposition; and their respect for my (different) decisions. You may not have this choice - but you can affect one side of the deal: your own behaviour. Which is, as far as I'm concerned the measure of a (wo)man.