As recently as five years ago, the largest religious body in the US was Catholic and the second largest ex-Catholic.
All the mainstream Protestant denominations are losing members; the Episcopalians are determinedly self destructing before our eyes and the Lutherans and the others are slowly fading.
Individual megachurches are coming and going. The Catholics would be slowly growing if it were not for the immigrants. But Catholicism world wide is growing fast, not just here.
From what I've heard and seen, if any one group can claim explosive growth in Africa and other parts of the 3rd world, it would be the Pentecostals and like-minded non-denominational Charismatic groups. Baptists and like-minded baptistic groups are making huge inroads in Brazil, Guatemale, and other Latin American countries (there are some districts in Oaxaca and Guatemala where Baptists and Protestants now make up large minorities (say, above 30%), which is leading to quite a lot of persecution at the hands of the local Catholic establishments.
The Anglicans (who are jokingly referred to as "like Catholics, except without the congregation"), Lutherans, United Methodists, and other liberal-infested denominations are bleeding congregants like mad, mostly to more conservative bodies with lower standards of dress, music, etc., like the megachurches and the non-denominational churches. The Southern Baptists have picked up quite a number of disaffected mainliners, but have themselves lost quite a number to the Independent and Fundamental Baptists.
There's a lot of mixing and turning out there in the religious world of Christendom, but the general trends seem to be people moving from liberal to conservative bodies, and from formalistic, hierarchical bodies towards independent and "non-denominational" groups.
It isn't in Costa Rica. The loss of members by the Catholic Church is at hemorrhage levels. As for the rest, most Costa Ricans who claim to be Catholic are Catholic in name only.