[edit] "I go to Church" works because Church is a proper noun when used in that sentence (and it's only used as a proper noun by devout Christians). Properly they mean "I go to [the/a] church", and the reason they leave out the particle is that they mean "THE CHURCH" but they want to sound humble, so they can't say that; but they also can't say "I go to a church," because that would be denying that the church they go to is the One True Church. That's why they don't use a particle in that particular phrase. The proper particle is "a", and "church" shouldn't be capitalized.
[edit2] this is not an attempt to start a religious flame war. I'm just commenting on the grammar.
[edit3] Just to demonstrate the proper noun thing I'm referring to, Jews "go to Temple" (capitalized, proper noun), or go to a temple, but they don't "go to temple".