I certainly believe there are people who consider nearly all kinds of things their religion -- and they probably are, for them.
Some Wicca groups are very open. Some are not. I wouldn't call Wicca a cult -- most of the groups I've associated with were very loose and relaxed (which is why I picked them, frankly, I am just done with rules). One of the aspects of a cult is the social control, and Wiccans just don't seem interested in that.
Voodoo is initiatory so far as I'm aware (not a practitioner, myself, but I do know several who are).
I'd call Freemasonry initiatory as well. And probably a religious practice in its own peculiar little way.
There is no question that masonry is 'initiatory'. And they don't claim to be a religion, either. They make it sort of a requirement that you have a religion in that you have to believe in God. They just don't specify details.
I suspect this is because many lodges in America, for instance, had both Jews and Christians as members. However, although all blue lodges (the beginning levels) and both the Scottish and York Rites have the candidates take oaths on the Bible, the Shriners, who are a masonic affiliated organization, give the candidate the choice of a Bible, a Koran, or the Baghavad Gita.
I didn't see anyone choose any other book besides the Bible on the day I went through it, though, and there where over a hundred candidates.
So, the real 'initiatory' groups either consider religion a different thing, or in the case of the real esoteric ones, that they are above religion, in that they understand what's really going on better than anyone who believes in a main stream religion.