From what I remember Claudius used to spy on his 'foreign' troops and observe the rituals and habits. Part of this lead him, in part, to the recovery of the last Rhine Eagle. I don't know which part of him discovered it by the way.
As was stated, the only things he didn't allow was Christianity (although he relented on this a little) and Druidic worship. The Druids scared him more than anything else which is why he wiped them all out.