The Free Folk worship the Old Gods of the Forest, like their distant cousins in the North.
Even in the lands of House Stark, there are some followers of the Faith of the Seven, often southern noblewomen who come to the North to secure marriage alliances.
The wildlings are much closer in lifestyle and habits to how the First Men lived thousands of years ago, as the North has come under some cultural influence from their Andal neighbors who invaded southern Westeros six thousand years ago, and particularly since the Seven Kingdoms were united into a single realm by the Targaryen Conquest three hundred years ago.
The other side of the coin is that without a central authority, the Free Folk are so "free" that they don't really have established and enforced laws.
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Different factions have very different cultures and practices, and may speak different languages.
They spend much of their time fighting one another over petty squabbles, aside from the times when they are unified by a King-Beyond-the-Wall; as they were under Mance Rayder.However, the Night's Watch knows it was originally constructed to defend against the possible return of the near-mythical White Walkers.