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To the Roman mind, religion was concerned with the relationships between man and the Gods, while philosophy was concerned with the relationships between men. Even an adherent of a relatively rationalistic and deist philosophical system would not think twice about also honoring the rituals and practices of the Religio Romana (and might very well be initiated into one or more Mysteries on top of all that!).
There were several major philosophical systems, most imported from Greece, that flourished during the Roman Empire:
Epicurus and Epicurean Philosophy is a site with links to classical texts and other useful information. The Epicurean Discussion Group is a mailing list focused on Epicurean philosophy.