This Pew graph shows that Millenials are less likely to belong to a particular religion than earlier cohorts. The circles indicate the points at which generations are at comparable ages. Twenty-six percent of Millenials are unaffiliated compared to 20 percent of Gen Xers and 13 percent of Boomers at the same ages.
On the other hand, this table shows that young adults in the Aughts were slight more likely to pray daily than their counterparts in the 80s or 90s.
So it appears that young people are not abandoning faith, just the institutionalization of it. This might help explain their higher levels of social liberalism. Here are the numbers who consider homosexual sex always wrong:
Only 43 percent of Millenials agree, compared to 58 percent of Boomers when they were young adults.
UPDATE: Using GSS data, I calculated the percent of young adults with no religion in the past decade for non-Hispanic whites only. It's 26.8%.