We are in the same boat. Although DH and i dont really follow a religion, my family does. Both my parents are very into catholic side of things. Dad was so hurt when we were married in an anglican church, but this was because we couldnt have a catholic service due to me not having done all the 'services' (reconcilliation, confirmation etc) and i didnt see the point. DH family are all anglican.
To me i dont really mind what religion bub is bought up in, but my family has other ideas and i dont know what to do either. Baptism is something i want to do though, but not sure what religion to swing to.

Some of our friends have also suggested a dedication service or a naming service. Then its not pinpointed at a specific religion.