Being "faithless" in the world of Warj'Arune means choosing to have no patron deity. It does not necessarily mean that you do or do not believe in the existance of any specific deities, rather it refers to wether or not you follow any deity in particular.
There are several in-game consequences of being "faithless", many of which will have to be discovered during play. Perhaps obviously, being "faithless" means you have no particular allies or enemies, as far as divine beings or their agents are concerned. Primarily, however, being "faithless" means that if your character dies, his Afterlife will be the Abyss. Followers of evil deities have the same Afterlife. There is a significant storyline reason for this, which again will have to be discovered.
Remember that certain character classes are unavailable to "faithless" characters, such as Clerics and Paladins. Also, you are expected to roleplay the social implications of being "faithless" just as much as someone else is expected to roleplay out their faith.