1. There should never be religious exemptions for any law. Laws against murder are great laws, and there are no religious exemptions for those laws. Even if you believe that consuming the hearts of your enemies will cause you to absorb their strength and courage, you still aren't allowed to kill a person and cut open their chest for that purpose. Good laws shouldn't have religious exemptions, and bad laws should just be repealed entirely. If it's ok for Indian tribes to take peyote, anybody should be allowed to take peyote.
2. The First Amendment already guarantees your right to believe whatever you want. But certain beliefs will hold you back from pursuing certain careers. If you are Amish, you probably can't work in IT. If you believe that killing animals is wrong, you can't work in a slaughterhouse. If you are a pacifist, then you can't be a US Marine. And if your beliefs prevent you from providing service to an entire group of customers, then your beliefs will prevent you from succeeding in the retail industry. I do wish all of the above groups the best of luck in finding gainful employment, but they just won't have the same options as the rest of us.
3, Real business owners don't want to discriminate. They don't want to turn down paying customers. And they really don't want paying customers to be under any impression at all that they would be discriminated against in their stores. This is why most business leaders don't lobby against anti-discrimination laws. Anti-discrimination laws ultimately protect businesses because with such laws in place, people know that they are welcome in any store. Governor Pence is going out of his way to protect a very small number of businesses that are doomed to fail anyway.
4. People make up new religions all the time. And who is to say which new faiths are sincere? I'm sure the Heaven's Gate cult members were sincere about their new faith when they all poisoned themselves. So if someone starts the High Church Of Tall Grass And Smoking Crack, will the City of Fort Wayne intervene by forcing HCOTGASC members to stop smoking crack and start mowing their yards?
5. If you are going to open a business that doesn't serve gay people because of your religious beliefs, why not just call your business a church and claim tax exempt status? Heck, if the law sticks then I wonder what would happen if a burning bush told me to stop paying Indiana taxes?