Real deep music trivia for you: Depeche Mode started as part of a Baptist youth group. That explains “New Life“, but not “Personal Jesus“, except perhaps as a sign that things had changed in their lives.
I met them at a Christian music festival–Greenbelt–in 1981. They were there as fans, almost completely unrecognized, even though “New Life” was rocketing up the charts that week. They were at the festival because they were big fans of Larry Norman, who was performing there.