First, which Ireland? Until 1922, officially there was just one Ireland. In that year, the country was split into the Northern Ireland, which is part of the United Kingdom, and the Republic of Ireland, which is independent. Of the particular areas of interest to you, All three counties are in the Republic, although Donegal is in the province of Ulster and only shares a small border with the Republic. Currently, 2/3 of the propulation lives in the Republic.
Second, if in Northern Ireland, Protestant or Catholic? The Republic is almost entirely Catholic. Northern Ireland is about half and half.
At FamilySearch, it appears that they have:
* Calendar of Wills and Administrations, 1858-1920 (partial and only for some counties but not all)
* Civil Registration Indexes, 1845-1958 (assume this is just for Northern Ireland after 1922, but not sure)
* Ireland, Prison Registers, 1790-1924
At the National Archives of Ireland, you can find the Census of Ireland 1901/1911 (appears to be free). Ancestry also has the 1911 Census, at least for 1911 (not sure about the Republic), but you have to pay.
[[www.census.nationalarchives.ie National Archives]]
For some counties in the Republic, the local diocese is not participating in general websites and has put church records online, for a fee.