Originally Posted by Prime Junta
Actually, it's a purely Christian term, from the Latin "paganus" meaning roughly "peasant" — someone far from the civilizing (and Christianizing) effect of the city. It's also been Anglicized to "heathen" (from "heath", which carried a connotation of backwoods, undesirable, unfarmable land at the time).
Jews refer to non-Jews as "gentiles," while Muslims have several terms for non-Muslim, with various meanings and connotations, some pretty neutral, some highly derogatory. I don't know whether Hindus and Buddhists have similar terms.