The Hellsing Organization, a Protestant-established militia based in England, uses a super-vampire to fight hoardes of the undead, while simultaneously defending itself from the Vatican's Section XIII Iscariot and their main agent, Father Anderson, who possesses similarly supernatural healing capabilities.
There are pentagrams on Alucard's gloves (this can most likely be attributed to the Japanese usage of the symbol, not the accepted Western view of it), the first episode has a vampire posing as a priest, lots of bloody violence that both sides condone, and I don't know about the anime, but the manga starts getting into featuring a reborn Nazi army full of undead ghouls attacking England.
It deals quite extensively in the supernatural monster category, but I believe that most of the sacrilegious comments come from the usage of vampires and the ruthlessness of both Hellsing and Section XIII. Also, the Section XIII minicomics that appear at the end of most of the manga feature a German gunswoman and a peaceful Japanese nun who turns into a bloodthirsty, sword-wielding psycho when provoked, that are usually sent out to deal with cults, terrorists, and the like.
I actually like the series, but I don't know too much about the anime, since I've only seen the first episode. I have the first 5 volumes of the manga, though, and that's far, far more graphic than the TV series, that's for sure. I just keep in mind that most of this is obviously based in a fictional alternate universe.
Mostly, I would rack the 'sacrilegious themes' up to taking the mixed imagery that's incorporated into the series at face value; I wouldn't believe for an instant that it's in there to make some sort of valid point of promoting it. The manga does kind of over-accentuate the Protestant/Catholic conflict, though, which is why I would assume both sides act the way they do. Of course, that could be for flavoring as well, I don't really know.