The concept of yajna or sacrifice is not present in other systems of worship. There is a big difference between our religion, the "Vedic mata", and other faiths. Religions like Christianity and Islam speak of one God. The Vedas too proclaim that there is but one God and that even an ordinary mortal is to be identified with him. This Paramatman, this Godhead, is to be realised as an experience by constant inquiry conducted with our inner being. It needs much wisdom and maturity to attain this state. When we unite with this one and only Reality, all those world disappears for us.
How do we prepare ourselves for such a state? The answer is: now itself, when we are deeply involved in worldly affairs. In the very midst of our mundane existence we must live according to the dictates of dharma and the teachings of the sastras. In this way our consciousness will be purified. We will become mature within and will be severed from the world. The duties and rites that will take us to this goal are enshrined in the Vedas. The most important of the rites is yajna. There is a very old Tamil word for it - "velvi". In yajna, offerings are made to different deities instead of to the one and only Paramatman. This sacrament is unique to our religion.
In a yajna we are enjoined to offer various materials in the sacred fire with the recitation of mantras. Making such offerings in the sacrificial fire is called "homa". Though the materials are placed in the fire it does not mean that they are necessarily offered to Agni. Only such materials as are placed in the fire with the chanting of mantras invoking Agni himself are meant for that deity. But the oblations meant for other deities like Rudra, Vishnu, Indra, Varuna, Matarisvan(Vayu), and so on are also made in the holy fire. Agni conveys them to the deities invoked. Just as letters addressed to various people are put in the same letter-box, the oblations meant for various deities are conveyed through one devata, Agni.
An important difference between the Vedic religion and other faiths is this: while followers of other religions worship one God we worship many deities and make offerings to them in the sacrificial fire.
We often say, don't we, that the Lord is pleased if we keep helping one another? Reformists forsake puja and ritual, saying, "Serving people, serving the poor, is as good as serving God". We will receive the Paramatman's blessings if we serve the devas also through sacrifices, for they too are His creation.
The Vedas proclaim that the one Brahman, call it the Truth or Reality, is manifested as so many different devatas or deities. Since each devata is extolled as the Paramatman we know for certain that monotheism is a Vedic tenet. It is wrong to believe that the Vedas subscribe to polytheism merely because they speak of many deities. In doing so they mean that the one and only Brahman is revealed as many deities. It is for the conduct of the affairs of the cosmos that the Paramatman has created the various divine powers. These (divinities) dieties are also in charge of the forces of nature, the feelings and urges of man. The Supreme Godhead has created them in the same way as he has created us. He fashioned us out of himself - which means that he is that came to be so many human beings also.
This is the reason why non-dualism proclaims that the Paramatman and the jivatman (the individual self) are one and the same. In the same way, it is he who is manifested as the many deities. However, until we are mature enough to recognise the truth of non-dualism and realise it within, and until we reach the state in which we realise that we are not separate from the Paramatman, we have to perform rituals and help one another. In the same way the deities are also to be looked upon as separate entities and are to be worshipped through sacrifices. This is the law of the Vedas.
If we and all other creatures are to be happy in this world, we must have the blessings of the deities who govern the cosmic forces. It is for this purpose, to propitiate and please them for their grace, that the Vedas impose on us the duty of performing sacrifices.
If we attain jnana, the wisdom to realise within the oneness of all, there will be no need for these deities. We may worship the Paramatman directly. However, so long as we make efforts to find release from this pluralistic cosmos, we have to worship the deities as separate entities.
For a general background, please see here