They do have the right to discriminate. Let them be stupid, that should be a protected right. This exercise of freedom is no different from Simon's right to cut off some bloggers for whatever reason, or for no reason at all. It's his site, and he can do whatever he wants with it. It's their religion too, and they can do whatever they want with it, as long as they don't cause physical harm to others.
I'm not so sure that discrimination of gays (such as refusing service to a gay marriage event) should be a protected act just because a person has a religious bias against the event. As another poster pointed out (I think Viviane) there is a State interest in commerce that deserves protection too. So we have competing interests at stake. We have, for example, 1) gays who want to marry, 2) christian extremists who do not want to provide services to a gay marriage event and we have 3) the State's interest in preserving and growing commerce. There may be other interests at stake too. But these come to mind first. Balancing these under the law is what society is grappling with right now.
To be fair I think the way forward is for legislatures and judiciaries to make clear what the rules are moving forward but judiciaries should refrain from punitive measures based on retro-application of new legal interpretation.