Most jobs I've taken they do some sort of training on this, but it goes without saying that its always qualified "within reason". For instance if your religion involves wearing racist slogans on your cloths/skin, drugs, clothing that prevents you from wearing safety gear - your employer doesn't have to put up with that. If your pregnant and you work in construction and your employer can't make reasonable accommodations for this - they don't have to put up with it.
I think most people would take some offense at any shop that said "no liberals, no conservatives, no pro gay (conservatives or liberals), no anti-gay" signs on their door. I think the bakery incident came down to the fact that the state of Oregon prohibits sexual discrimination, and so does the federal government - and it wasn't a significant burden on them to make a cake. There would be zero controversy if that same bakery did this to a black or Mexican person. There would probably be less controversy if a bakery refused to make a racist cake.
You know - a lot of it is up to the courts to decide what is reasonable or not. If you're a white supremacist on twitter - talk to your lawyer.