I am forever getting those stay questions about how many Mennonites, or Methodists or Mormons there are in our region. As a NYS Census Data Affiliate, I unfortunately have had to tell those making such inquiries that I know of no such data base that can get them below the national level, geographically speaking.
That has recently changed however when I became aware of the Association of Religon Data Archives website (http://www.thearda.com/). The ARDA site allows you to interactively explore the highest quality data on American and international religion using online features for generating national profiles, maps, church membership overviews, denominational heritage trees, tables, charts, and other summary reports. Over 350 data files are available for online preview and most can be downloaded for additional research.
To find county level data, select "Maps & Reports" and then the county option. From there the user can select the State and County of choice. The resultant table tells you the theology, congregations, and adherents for each religios group.